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Regular version of the site

Article

Variance Reduction via Empirical Variance Minimization

Belomestny D., Iosipoi L., Zhivotovskiy N.

In this paper we propose and study a generic variance reduction approach. The proposed method is based on minimization of the empirical variance over a suitable class of zero mean control functionals. We discuss several possibilities of constructing zero mean control functionals and present non-asymptotic error bounds for the variance reduced Monte Carlo estimates. Finally, a simulation study showing nu- merical eciency of the proposed approach is presented.