Constrained Monte Carlo and the method of control variates

被引：6
|
作者：
Szechtman, R [1 ]
Glynn, PW [1 ]
机构：
[1] Stanford Univ, Dept Management Sci & Engn, Stanford, CA 94305 USA
来源：
WSC'01: PROCEEDINGS OF THE 2001 WINTER SIMULATION CONFERENCE, VOLS 1 AND 2 | 2001年
关键词：
D O I：
10.1109/WSC.2001.977308
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
A constrained Monte Carlo problem arises when one computes an expectation in the presence of a priori computable constraints on the expectations of quantities that are correlated with the estimand. This paper discusses different applications settings in which such constrained Monte Carlo computations arise, and establishes a close connection with the method of control variates when the constraints are of equality form.
引用
收藏
页码：394 / 400
页数：7
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