Lecture

Variance Reduction Techniques

In course

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Description

This lecture covers variance reduction techniques in stochastic simulation, including control variates, stratification, and auxiliary variables. The goal is to improve the accuracy of output quantity estimation in a stochastic model by introducing correlated auxiliary variables. The instructor explains how to perform Monte Carlo simulations to estimate quantities and confidence intervals, demonstrating the application of these techniques in different scenarios.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_s4hfevfg

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