Class ControlVariates

  • All Implemented Interfaces:
    MeanEstimator

    public class ControlVariates
    extends Object
    implements MeanEstimator
    Control variates method is a variance reduction technique that exploits information about the errors in estimates of known quantities to reduce the error of an estimate of an unknown quantity. We estimate the mean of \(f_i(x;b) = f_i(x) - b(g_i(x) - E(g))\).
    See Also:
    • Constructor Detail

      • ControlVariates

        public ControlVariates​(UnivariateRealFunction f,
                               UnivariateRealFunction g,
                               double Eg,
                               double b,
                               RandomNumberGenerator X)
        Estimates \(E(f(X_1))\), where f is a function of a random variable.
        Parameters:
        f - the random function to evaluate the expectation of
        g - the random function with known value
        Eg - the expectation of g
        b - a coefficient
        X - a random number generator
    • Method Detail

      • cov

        public double cov()