Adaptive simulation using perfect control variates

DOI10.1239/jap/1091543430zbMath1074.65004OpenAlexW1975358477MaRDI QIDQ4668005

Burton Simon, Shane G. Henderson

Publication date: 18 April 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1091543430

zbMATH Keywords

estimationMarkov chainsperformance measuresvariance reductionstochastic systemsefficiency improvementadaptive Monte Carlo methodapproximating martingalesperfect control variates

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

Related Items (3)

Batching Adaptive Variance Reduction ⋮ Stein's method meets computational statistics: a review of some recent developments ⋮ Variance reduction for additive functionals of Markov chains via martingale representations

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