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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 variates
Importance sampling
Least squares
List of numerical analysis topics
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Broader (2)
Computational statistics
Randomness
Papers overview
Semantic Scholar uses AI to extract papers important to this topic.
2017
2017
Calibration to vanilla and barrier options with the Gyöngy and Brunick-Shreve Markovian projections
Matthieu Mariapragassam
2017
Corpus ID: 125280809
In this thesis, we present a novel approach to the calibration of diffusion models to vanilla and barrier options with the Gyongy…
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2016
2016
Reducing the error of Monte Carlo Algorithms by Learning Control Variates
Brendan D. Tracey
,
D. Wolpert
2016
Corpus ID: 88514156
Monte Carlo (MC) sampling algorithms are an extremely widely-used technique to estimate expectations of functions f(x…
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2010
2010
Control Variates for Reversible MCMC Samplers
P. Dellaportas
,
Ioannis Kontoyiannis
2010
Corpus ID: 53342004
A general methodology is introduced for the construction and effective application of control variates to estimation problems…
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2008
2008
Monte Carlo Simulation with Exact Analysis for Stochastic Pert Networks
Z. Milian
2008
Corpus ID: 16686381
This paper deals with one of methods for estimating the probability distribution of the project completion time in stochastic…
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Review
2007
Review
2007
Variance Reduction Three Approaches to Control Variates
Thomas Lidebrandt
2007
Corpus ID: 6036136
In option price simulations, simulation-time is of great importance. Control variates is a variance reduction technique that can…
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1999
1999
Indirect Estimation of Just-Identified Models with Control Variates
G. Calzolari
,
F. Iorio
,
G. Fiorentini
1999
Corpus ID: 18949270
Simulation estimators, such as indirect inference or simulated maximum likelihood, are successfully employed for estimating…
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1989
1989
On regression sampling in statistical auditing : bad answers to the wrong questions?
A. F. Vos
1989
Corpus ID: 25983832
This paper criticizes the use of regression in audit samples to obtain confidence intervals for the error rate. Also the…
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1988
1988
Regression sampling in statistical auditing
J. Kleijnen
,
J. Kriens
,
H. Timmermans
,
H. V. D. Wildenberg
1988
Corpus ID: 56676292
1987
1987
Control Variate Selection for Multiresponse Simulation.
K. Bauer
1987
Corpus ID: 122656860
Abstract : A solution is offered to the general problem of optimal selection of control variates. Solutions are offered for two…
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1981
1981
The use of antithetic control variates in computer simulations
R. Cheng
Online World Conference on Soft Computing in…
1981
Corpus ID: 14495999
The method of antithetic variates is a well-known technique for reducing the variability of estimators in computer simulation…
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