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和棋 · 2020年09月04日

问一道题:NO.PZ2020011101000045

问题如下:

What are antithetic variables and control variates?

选项:

解释:

Antithetic variables are simulated variables that have been constructed to have a negative correlation with a previously sampled set of simulated values. Control variates are mean zero values that are correlated with the quantity whose expectation is being computed via simulation. The control variates are then combined with the simulated value using an optimal weight to reduce the simulation variance. Control variates should be cheap to produce.

你好请问这个知识点在哪里提到了


1 个答案

袁园_品职助教 · 2020年09月05日

同学你好!

Section 10 Simulation and Bootstrapping

Advantage and Disadvantages of MCS & Reducing Monte Carlo Sampling Error

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