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stat.ME2023
Multilevel Control Functional
Kaiyu Li, Yiming Yang, Xiaoyuan Cheng +2
Control variates are variance reduction techniques for Monte Carlo estimators. They play a critical role in improving Monte Carlo estimators in scientific and machine learning appl…
stat.ME2023
Meta-learning Control Variates: Variance Reduction with Limited Data
Zhuo Sun, Chris J. Oates, François-Xavier Briol
Control variates can be a powerful tool to reduce the variance of Monte Carlo estimators, but constructing effective control variates can be challenging when the number of samples…