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Dagger Sampling in Monte Carlo Methods by Arne Nimell is a document available to read on EtoBox.
1) Complementary random numbers can be used to create negatively correlated estimates in Monte Carlo simulations. This reduces the variance of the combined estimate compared to independent estimates. 2) Complementary random numbers are created by taking the complementary value (1-u) of a uniformly distributed random number u. Estimates based on the original and complementary random numbers will thus be negatively correlated. 3) When applying complementary random numbers to vectors, the original and complem
- Author
- Arne Nimell
- Language
- EN