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WSC
2001

Constrained Monte Carlo and the method of control variates

13 years 5 months ago
Constrained Monte Carlo and the method of control variates
A constrained Monte Carlo problem arises when one computes an expectation in the presence of a priori computable constraints on the expectations of quantities that are correlated with the estimand. This paper discusses different applications settings in which such constrained Monte Carlo computations arise, and establishes a close connection with the method of control variates when the constraints are of equality form.
Roberto Szechtman, Peter W. Glynn
Added 31 Oct 2010
Updated 31 Oct 2010
Type Conference
Year 2001
Where WSC
Authors Roberto Szechtman, Peter W. Glynn
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