Adaptive Control Variates for Finite-Horizon Simulation

DOI10.1287/MOOR.1070.0251zbMath1279.65008OpenAlexW2154397892MaRDI QIDQ5388044

Shane G. Henderson, Sujin Kim

Publication date: 27 May 2008

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

Full work available at URL: https://doi.org/10.1287/moor.1070.0251

zbMATH Keywords

variance reductionadaptive Monte Carlocontrol variates

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Adaptive control/observation systems (93C40)

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