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Monte Carlo integration with a growing number of control variates

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  • Portier, Francois
  • Segers, Johan

Abstract

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Suggested Citation

  • Portier, Francois & Segers, Johan, 2019. "Monte Carlo integration with a growing number of control variates," LIDAM Reprints ISBA 2019035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvar:2019035
    Note: In : Journal of Applied Probability, vol. 56, no. 4, p. 1168-1186 (2019)
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    Cited by:

    1. Jérôme Lelong & Zineb El Filali Ech-Chafiq & Adil Reghai, 2020. "Automatic Control Variates for Option Pricing using Neural Networks," Working Papers hal-02891798, HAL.
    2. Leluc, Rémi & Portier, François & Zhuman, Aigerim & Segers, Johan, 2023. "Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence," LIDAM Discussion Papers ISBA 2023019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    3. Jérôme Lelong & Zineb El Filali Ech-Chafiq & Adil Reghai, 2021. "Automatic Control Variates for Option Pricing using Neural Networks," Post-Print hal-02891798, HAL.
    4. Plassier, Vincent & Portier, François & Segers, Johan, 2020. "Risk bounds when learning infinitely many response functions by ordinary linear regression," LIDAM Discussion Papers ISBA 2020019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Leluc, Rémi & Dieuleveut, Aymeric & Portier, François & Segers, Johan & Zhuman, Aigerim, 2024. "Sliced-Wasserstein Estimation with Spherical Harmonics as Control Variates," LIDAM Discussion Papers ISBA 2024003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    6. Richard A. Davis & Thiago do Rêgo Sousa & Claudia Klüppelberg, 2021. "Indirect inference for time series using the empirical characteristic function and control variates," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 653-684, September.
    7. Leluc, Rémi & Portier, François & Segers, Johan & Zhuman, Aigerim, 2022. "A Quadrature Rule combining Control Variates and Adaptive Importance Sampling," LIDAM Discussion Papers ISBA 2022018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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