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Seminar on Probability Theory and Mathematical Statistics
September 21, 2018 18:00–20:00, St. Petersburg, PDMI, room 311 (nab. r. Fontanki, 27)
 


Variance reduction in Monte Carlo via empirical variance minimization

L. Iosipoi

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Abstract: One of the methods for increasing the efficiency of Monte Carlo simulation is by reducing the variance of simulation estimates. We are going to discuss an approach which is based on the minimization of the empirical variance over a suitable class of zero mean control functionals. The convergence and complexity analysis of this approach will be presented.

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