Monte Carlo Simulation: IEOR E4703 Fall 2004 2004 by Martin Haugh Variance Reduction Methods I
Variance Reduction Methods I 5 3.1 The Control Variate Method Suppose again that we wish to estimate µ:= E[Y] where Y = h(X) is the output of a simulation experiment. Suppose that Z is also an output of the simulation or that we can easily output it if we...