Variance Reduction in Monte Carlo Estimators via Empirical Variance Minimization

Belomestny, DV; Iosipoi, LS; Zhivotovskiy, NK

Iosipoi, LS (reprint author), Natl Res Univ, Higher Sch Econ, Moscow, Russia.; Iosipoi, LS (reprint author), Moscow MV Lomonosov State Univ, Fac Mech & Math, Moscow, Russia.

DOKLADY MATHEMATICS, 2018; 98 (2): 494

Abstract

For Monte Carlo estimators, a variance reduction method based on empirical variance minimization in the class of functions with zero mean (control fun......

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