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Regression-based Monte Carlo Integration
Research & Education
Full Conference Supporter
Exhibitor Additional Full Conference
Exhibitor Full Conference
This session WILL NOT be recorded.
LocationEast Building, Ballroom C
DescriptionMonte Carlo estimation involves computing the expected value (i.e., a constant function) from the stochastic evaluations of the integrand. We show that it is possible to use a more complex function than a constant one to construct a provably more efficient control-variate estimator for Monte Carlo integration.