Control Variates Techniques for Monte Carlo Simulation

reportActive / Technical Report | Accession Number: ADA495131 | Open PDF

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.

Author(s):
Szechtman, Roberto
Author Organization(s):
NAVAL POSTGRADUATE SCHOOL MONTEREY CA DEPT OF OPERATIONS RESEARCH
Descriptive Note:
Conference paper
Supplementary Note:
Presented at the Winter Simulation Conference, held in New Orleans, LA, on 7-10 December 2003. Published in the proceedings of the conference, p144-149, 2003.
Pagination:
0007

Security Markings

DOCUMENT & CONTEXTUAL SUMMARY

Distribution:
Approved For Public Release
Distribution Statement:
Approved For Public Release; Distribution Is Unlimited.

RECORD

Collection: TR
Identifying Numbers
Monitor Series:
NPS-OR
 Subject Terms
Joint Capability Areas:
JCA_5_Command and Control; JCA_5.3_Planning; JCA_5.4_Decide; JCA_1_Force Support; JCA_5.4.5_Intuit; JCA_6_Net Centric; JCA_8_Building Partnerships
Modernization Areas:
Fully Networked C3
Communities of Interest:
C4I
Descriptor(s):
*SIMULATION, *MONTE CARLO METHOD, *ANALYSIS OF VARIANCE, REDUCTION, VARIATIONS, THEORY, CONTROL SYSTEMS, PROBABILITY
Field(s)/Group(s):
Statistics and Probability
Keyword(s):
*CONTROL VARIATES
Report Date:
2003 Dec 01
Creation Date:
2009 Apr 01