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Regular version of the site

Working paper

Variance reduction via empirical variance minimization: convergence and complexity

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 construct- ing 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.