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Module variance

ringkernel_montecarlo

Module variance

Expand description

Variance reduction techniques for Monte Carlo simulation.

This module provides several variance reduction methods:

Antithetic Variates: Use negatively correlated pairs to reduce variance
Control Variates: Use correlated variables with known mean
Importance Sampling: Reweight samples from a different distribution

Structs§

AntitheticVariates: Configuration for antithetic variates estimator.
ControlVariates: Configuration for control variates estimator.
ImportanceSampling: Configuration for importance sampling.

Functions§

antithetic_pair: Generate an antithetic pair of uniform variates.
control_variate_estimate: Estimate using control variates.
importance_sample: Compute importance sample with weight.