This paper details a new control-variate splitting scheme yielding an unbiased esti-mator of the mean response and an unbiased estimator of the variance of the first estimator. This scheme also yields an asymptotically exact confidence interval for the mean response. We present analytical and empirical performance comparisons of this scheme versus other control-variate procedures.

The method of exchangeable pairs has emerged as an important tool in proving limit theorems for Poisson, normal and other classical approximations. Here the method is used in a simulation context. We estimate transition probabilitites from the simulations and use these to reduce variances. Exchangeable pairs are used as control variates. Finally, a general approximation theorem is developed tha...

Consider the normalized partial sums of a real-valued function F of a Markov chain,

Variance reduction techniques have been shown by others in the past to be a useful tool to reduce variance in Simulation studies. However, their application and success in the past has been mainly domain specific, with relatively little guidelines as to their general applicability, in particular for novices in this area. To facilitate their use, this study aims to investigate the robustness of ...

The method of control variates is one of the most widely used variance reduction techniques associated with Monte Carlo simulation. This paper studies the method of control variates from several different viewpoints, and establishes new connections between the method of control variates and: conditional Monte Carlo, antithetics, rotation sampling, stratification, and nonparametric maximum likel...

Two estimators of the control variate type for survivor growth from remeasured point samples are proposed and compared with more familiar estimators. The large reductions in variance, observed in many cases for estimators constructed with control variates, are also realized in this application. A simulation study yielded consistent reductions &ariante which were often 50% and occasionally over ...

Real-time adaptive sampling is a new technique recently proposed for efficient importance in realtime Monte Carlo subsurface scattering. It adaptively places samples based on variance tracking to help escape the uncanny valley of rendering. However, occasional performance drop due temporal lighting dynamics (e.g., guns or lights turning and off) could hinder adoption games other applications wh...

The method of exchangeable pairs has emerged as an important tool in proving limit theorems for Poisson, normal and other classical approximations. Here the method is used in a simulation context. We estimate transition probabilitites from the simulations and use these to reduce variances. Exchangeable pairs are used as control variates. Finally, a general approximation theorem is developed tha...

It seems fair that the usual sample correlation coefficient should allow improvement when additional samples from the marginals are available. However, some intuitive attempts fail badly. Using control variates, a simple method is presented which asymptotically achieves the optimal improvement.