Combination of General Antithetic Transformations and Control Variables

DOI10.1287/MOOR.1040.0101MaRDI QIDQ5704207zbMATH OpenOpenAlexFDO

Authors Hatem Ben-Ameur, Pierre L'Ecuyer, Christiane Lemieux

Publication date 11 November 2005

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/41b79528f7e6b3285fe3047a3ab045759c1fcb98

zbMATH Keywords

variance reduction, control variates, antithetic variates, quasi-Monte Carlo, lattice rules, digital nets, Latin hypercube sampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cited in

(10)

• scientific article; zbMATH DE number 1790424 (Why is no real title available?)
• Combined correlation methods for metamodel estimation in multipopulation simulation experiments
• Antithetic and Negatively Associated Random Variables and Function Maximization
• A farewell to the use of antithetic variates in Monte Carlo simulation
• Integrated Variance Reduction Strategies for Simulation
• On the variance of antithetic time series
• K-antithetic variates in Monte Carlo simulation
• Quasi-Monte Carlo methods with applications in finance
• Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
• Strategies for Combining Antithetic Variates and Control Variates in Designed Simulation Experiments

Describes a project that uses

Uses Software

• Algorithm 823

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