Constrained Monte Carlo and the method of control variates

Authors:
Roberto Szechtman;Peter W. Glynn
Affiliations:
Stanford University, Stanford, CA;Stanford University, Stanford, CA
Venue:
Proceedings of the 33nd conference on Winter simulation
Year:
2001

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Abstract

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.