Antithetic variates in higher dimensions

MaRDI QIDQ6212893zbMATH OpenFDO

Authors Sebastian Del Baño Rollin, Joan-Andreu Lázaro-Camí

Publication date 24 February 2009

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Randomized algorithms (68W20)

Abstract: We introduce the concept of multidimensional antithetic as the absolute minimum of the covariance defined on the orthogonal group by $AmapstoCov(f(xi),f(Axi))$ where $xi$ is a standard $N$-dimensional normal random variable and $f:mathbb{R}^{N}omathbbR$ is an almost everywhere differentiable function. The antithetic matrix is designed to optimise the calculation of $E[f(xi)]$ in a Monte Carlo simulation. We present an iterative annealing algorithm that dynamically incorporates the estimation of the antithetic matrix within the Monte Carlo calculation.

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