Surveying the Variance Reduction Methods
Journal Title: International Research Journal of Applied and Basic Sciences - Year 2013, Vol 7, Issue 7
Abstract
The Monte Carlo method is the one used for integral estimation accompanied by random numbers, the main idea of this method is converting the integral to expectancy based on the definite probable density function, generating random sample from this density function and using large numbers rule to estimate the expectancy. In Monte Carlo method, is estimated by generating sequences of random variables whose expectancy is . The efficiency of this method increases when the random variable is low in variance. Those methods generating random variable by expectancy and rather low variance are called “variance reduction”. In this article, we focus on variance reduction methods.
Authors and Affiliations
Arash Mirtorabi *| Department of Statistics, Science and Research Branch, Islamic Azad University, Fars, Iran. email: A.mirtorabi@hotmail.com, Gholamhossein Gholami| Department of Mathematics, Faculty of sciences, Urmia University, Urmia, Iran.
Keywords
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