Accession Number:

ADA495131

Title:

Control Variates Techniques for Monte Carlo Simulation

Descriptive Note:

Conference paper

Corporate Author:

NAVAL POSTGRADUATE SCHOOL MONTEREY CA DEPT OF OPERATIONS RESEARCH

Personal Author(s):

• Szechtman, Roberto

Report Date:

2003-12-01

Pagination or Media Count:

7.0

Abstract:

In this paper we present an overview of classical results about the variance reduction technique of control variates. We emphasize aspects of the theory that are of importance to the practitioner, as well as presenting relevant applications.

Descriptors:

• *SIMULATION
• *MONTE CARLO METHOD
• *ANALYSIS OF VARIANCE
• REDUCTION
• VARIATIONS
• THEORY
• CONTROL SYSTEMS
• PROBABILITY

Subject Categories:

• Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE