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Control variates

Known as: Control variate, Regression sampling 
The control variates method is a variance reduction technique used in Monte Carlo methods. It exploits information about the errors in estimates of… 
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Related topics

Related topics

9 relations
Antithetic variatesImportance samplingLeast squaresList of numerical analysis topics

Broader (2)

Computational statisticsRandomness

Papers overview

Semantic Scholar uses AI to extract papers important to this topic.
2016
2016
The Scalable Langevin Exact Algorithm : Bayesian Inference for Big Data
This paper introduces a class of Monte Carlo algorithms which are based upon simulating a Markov process whose quasi-stationary… 
2013
2013
Calibrated path sampling and stepwise bridge sampling
2012
2012
Controlled multistage selection procedures for comparison with a standard
2011
2011
Investors' and Central Bank's Uncertainty Embedded in Index Options
Shocks to equity options' ATM implied volatility (ATMIV) are followed by persistently lower short-term rates. Shocks to the ratio… 
2009
2009
A Multilevel Approach to Control Variates
We present a new variance reduction technique that naturally applies to price financial derivatives by Monte Carlo simulation… 
Review
2007
Review
2007
Variance Reduction Three Approaches to Control Variates
In option price simulations, simulation-time is of great importance. Control variates is a variance reduction technique that can… 
Highly Cited
1998
Highly Cited
1998
Pricing the American put option: A detailed convergence analysis for binomial models
1987
1987
Estimation procedures based on control variates with known covariance matrix
This paper describes a new procedure for using control variates in multiresponse simulation when the covariance matrix of the… 
1987
1987
Control Variate Selection for Multiresponse Simulation.
Abstract : A solution is offered to the general problem of optimal selection of control variates. Solutions are offered for two… 
Highly Cited
1967
Highly Cited
1967
Probability Models for Multiprogramming Computer Systems
A probabilistic model is developed for a multiprogramming computer configuration, i.e., one in which several program segments are… 
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