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… (More)
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Papers overview

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2017
2017
It is well known that Markov chain Monte Carlo (MCMC) methods scale poorly with dataset size. A popular class of methods for… (More)
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2009
2009
Control variates are a popular technique for reducing the variance of Monte Carlo estimates. Recent literature has enlarged the… (More)
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2009
2009
The conventional control variate method proposed by Kemna and Vorst (1990) to evaluate Asian options under the Black-Scholes… (More)
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2006
2006
We present the Optimizing Control Variate (OCV) estimator, a new estimator for Monte Carlo rendering. Based upon a deterministic… (More)
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2004
2004
Adaptive Monte Carlo methods are specialized Monte Carlo simulation techniques where the methods are adaptively tuned as the… (More)
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2002
2002
The method of control variates is one of the most widely used variance reduction techniques associated with Monte Carlo… (More)
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1996
1996
Importance sampling and control variates have been used as variance reduction techniques for estimating bootstrap tail quantiles… (More)
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Highly Cited
1990
Highly Cited
1990
Other than common random numbers, control varlates is the most promising variance reduction technique in terms of its potential… (More)
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1987
1987
This paper describes a new procedure for using control variates in multiresponse simulation when the covariance matrix of the… (More)
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1987
1987
Some new quantile estimators that employ a control variate are introduced. The properties of these estimators do not depend on… (More)
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