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Introduction to variance reduction methods
| Content Provider | Semantic Scholar |
|---|---|
| Author | Halmstad, Bernard Lapeyre |
| Copyright Year | 2007 |
| Abstract | All the results of the preceding lecture show that the ratio σ/ √ N governs the accuracy of a Monte-Carlo method withN simulations. An obvious consequence of this fact is that one always has interest to rewrite the quantity to compute as the exp ctation of a random variable which has a smaller variance : this is the basic idea of varian ce reduction techniques. For complements, we refer the reader to [ ?],[?],[?] or [?]. Suppose that we want to evaluate E (X). We try to find an alternative representation for this expectation as E (X) = E (Y ) + C, |
| File Format | PDF HTM / HTML |
| Alternate Webpage(s) | http://cermics.enpc.fr/~bl/Halmstad/monte-carlo/lecture-2.pdf |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
