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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.
2018
2018
A Generalized Framework for Approximate Control Variates
We describe and analyze a Monte Carlo (MC) sampling framework for accelerating the estimation of statistics of computationally… 
2017
2017
Calibration to vanilla and barrier options with the Gyöngy and Brunick-Shreve Markovian projections
In this thesis, we present a novel approach to the calibration of diffusion models to vanilla and barrier options with the Gyongy… 
2016
2016
Reducing the error of Monte Carlo Algorithms by Learning Control Variates
Monte Carlo (MC) sampling algorithms are an extremely widely-used technique to estimate expectations of functions f(x… 
2010
2010
Control Variates for Reversible MCMC Samplers
A general methodology is introduced for the construction and effective application of control variates to estimation problems… 
2008
2008
Monte Carlo Simulation with Exact Analysis for Stochastic Pert Networks
This paper deals with one of methods for estimating the probability distribution of the project completion time in stochastic… 
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… 
1989
1989
On regression sampling in statistical auditing : bad answers to the wrong questions?
This paper criticizes the use of regression in audit samples to obtain confidence intervals for the error rate. Also 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… 
1986
1986
The Effectiveness of Jackson Networks as Control Variates for Queueing Network Simulation.
Abstract : Control variates based on Jackson networks are investigated for variance reduction in open queueing network… 
1981
1981
The use of antithetic control variates in computer simulations
The method of antithetic variates is a well-known technique for reducing the variability of estimators in computer simulation… 
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