Some Advantages on Monte Carlo Integration using Variance Reduction Procedures

Behrouz Fathi Vajargah, Farshid Mehrdoust,Ahmad Pourdarvish, Forough Norouzi Saziroud


This paper presents the variance reduction methods for increasing the accuracy of Monte Carlo integration. Also, based on robust
linear regression and multiple control variates method an alternative method is proposed.


Keywords: Antithetic variates(AV); Multiple control variates (MCV); Multivariate numerical integration; Naive Monte Carlo(NMC); Single
control variates (SCV)

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