Control variates for quasi-Monte Carlo (with comments and rejoinder)

DOI10.1214/088342304000000468zbMath1100.65006OpenAlexW2146299225MaRDI QIDQ2503966

Christiane Lemieux, Art B. Owen, Fred J. Hickernell

Publication date: 22 September 2006

Published in: Statistical Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/088342304000000468

zbMATH Keywords

stratificationvariance reductionlattice rulesDigital netslow discrepancy methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (19)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Quasi-Monte Carlo integration using digital nets with antithetics ⋮ Multifidelity approaches for optimization under uncertainty ⋮ Scalable Control Variates for Monte Carlo Methods Via Stochastic Optimization ⋮ Quasi-Monte Carlo Software ⋮ On Dropping the First Sobol’ Point ⋮ Quasi-Monte Carlo Methods for Binary Event Models with Complex Family Data ⋮ Semiparametric regression during 2003--2007 ⋮ Adaptive Quasi-Monte Carlo Methods for Cubature ⋮ Quasi-Monte Carlo for highly structured generalised response models ⋮ A systematic study of efficient sampling methods to quantify uncertainty in crack propagation and the Burgers equation ⋮ Local antithetic sampling with scrambled nets ⋮ Quasi-Monte Carlo methods with applications in finance ⋮ Stochastic quasi-gradient methods: variance reduction via Jacobian sketching ⋮ Numerical integration in logistic-normal models ⋮ Analyzing the emergence times of permanent teeth: an example of modeling the covariance matrix with interval-censored data ⋮ Probabilistic integration: a role in statistical computation? ⋮ Semi-supervised inference: general theory and estimation of means ⋮ Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance

Uses Software

• Algorithm 823
• SDaA

Cites Work

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