Adaptive simulation using perfect control variates

Journal of Applied Probability

Volumn 41, Issue 3, 2004, Pages 859-876

  Henderson, Shane G ^a,c   Simon, Burt ^b  

^a Department of Obstetrics Gynecology   (United States)

^b UNIVERSITY OF COLORADO   (United States)

^c Cornell University   (United States)

Author keywords

Adaptive Monte Carlo; Approximating martingale; Control variate; Efficiency improvement; Variance reduction

Indexed keywords

EID: 10244222906     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1091543430     Document Type: Article

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