Efficiency of Multivariate Control Variates in Monte Carlo Simulation
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DOI: 10.1287/opre.33.3.661
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Cited by:
- Chris J. Oates & Mark Girolami & Nicolas Chopin, 2017. "Control functionals for Monte Carlo integration," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 695-718, June.
- Wu, Junqi & Niu, Zhibin & Li, Xiang & Huang, Lizhen & Nielsen, Per Sieverts & Liu, Xiufeng, 2023. "Understanding multi-scale spatiotemporal energy consumption data: A visual analysis approach," Energy, Elsevier, vol. 263(PD).
- Kenneth W. Bauer & James R. Wilson, 1992. "Controlāvariate selection criteria," Naval Research Logistics (NRL), John Wiley & Sons, vol. 39(3), pages 307-321, April.
- Lee, Jinkyu & Bae, Sanghyeon & Kim, Woo Chang & Lee, Yongjae, 2023. "Value function gradient learning for large-scale multistage stochastic programming problems," European Journal of Operational Research, Elsevier, vol. 308(1), pages 321-335.
- Amano, Tomoyuki & Taniguchi, Masanobu, 2011. "Control variate method for stationary processes," Journal of Econometrics, Elsevier, vol. 165(1), pages 20-29.
- Schweinberger, Michael & Snijders, Tom A.B., 2007. "Markov models for digraph panel data: Monte Carlo-based derivative estimation," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4465-4483, May.
- Kevin S. Zhang & Traian A. Pirvu, 2020. "Numerical Simulation of Exchange Option with Finite Liquidity: Controlled Variate Model," Papers 2006.07771, arXiv.org.
- Peter W. Glynn & Donald L. Iglehart, 1989. "The optimal linear combination of control variates in the presence of asymptotically negligible bias," Naval Research Logistics (NRL), John Wiley & Sons, vol. 36(5), pages 683-692, October.
- Rubinstein, Reuven Y., 1986. "The score function approach for sensitivity analysis of computer simulation models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 28(5), pages 351-379.
- Bo Hu & Matthias Dehmer & Frank Emmert-Streib & Bo Zhang, 2021. "Analysis of the real number of infected people by COVID-19: A system dynamics approach," PLOS ONE, Public Library of Science, vol. 16(3), pages 1-9, March.
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Keywords
767 control variates; 796 variance reduction;Statistics
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