Monte Carlo, Control Variates, and Stochastic Ordering

DOI10.1137/0910014MaRDI QIDQ3830350zbMATH OpenOpenAlexFDO

Authors George S. Fishman

Publication date 1989

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0910014

zbMATH Keywords

coefficient of variationconfidence intervalcontrol variate variance-reduction methoddiscrete distributiondistribution of maximal flowflow-network problemlower boundprior informationstochastic orderingsunbiased control variate estimatorupper boundsvariance-reduced estimator of the population mean

Mathematics Subject Classification ID

Point estimation (62F10) Parametric tolerance and confidence regions (62F25) Monte Carlo methods (65C05) Stochastic network models in operations research (90B15)

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Cited in

(20)

• Selecting control variates to estimate multiresponse simulation metamodels
• A non-parametric Monte Carlo technique for controller verification
• Variance reduction in Monte Carlo estimators via empirical variance minimization
• Accelerated Monte Carlo estimation of exceedance probabilities under monotonicity constraints
• Controlled multistage selection procedures for comparison with a standard
• Evaluation of a dynamic reliability problem based on order of component failure
• Filtered Monte Carlo
• Control Variates for Monte Carlo Analysis of Nonlinear Statistical Models, I: Overview
• Control Variates for Quantile Estimation
• Estimating probabilities from invariant permutation distributions
• Control Variates to Estimate the Reduced Form Variance in Econometric Models
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• Who's being swindled?: a case for enlightened naivete
• Monte Carlo Estimation under Different Distributions Using the Same Simulation
• Improved point and confidence interval estimators of mean response in simulation when control variates are used
• Inexact control variates for the iterated bootstrap
• Stochastic comparisons of stratified sampling techniques for some Monte Carlo estimators
• Improving the Monte Carlo estimation of boundary crossing probabilities by control variables
• Monte Carlo integration with a growing number of control variates
• Stochastic monotonicity and conditional Monte Carlo for likelihood ratios

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