Constrained Monte Carlo and the method of control variates

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.

• Type: Conference
• Year: 2001
• Where: WSC
• Authors: Roberto Szechtman, Peter W. Glynn
• Keywords: Constrained Monte Carlo, Modeling And Simulation, Monte Carlo Problem, Priori Computable Constraints, WSC 2001