{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,4,8]],"date-time":"2024-04-08T19:53:38Z","timestamp":1712606018887},"reference-count":21,"publisher":"Institute for Operations Research and the Management Sciences (INFORMS)","issue":"3","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Mathematics of OR"],"published-print":{"date-parts":[[2007,8]]},"abstract":" Adaptive Monte Carlo methods are simulation efficiency improvement techniques designed to adaptively tune simulation estimators. Most of the work on adaptive Monte Carlo methods has been devoted to adaptively tuning importance sampling schemes. We instead focus on adaptive methods based on control variate schemes. We introduce two adaptive control variate methods, and develop their asymptotic properties. The first method uses stochastic approximation to adaptively tune control variate estimators. It is easy to implement, but it requires some nontrivial tuning of parameters. The second method is based on sample average approximation. Tuning is no longer required, but it can be computationally expensive. Numerical results for the pricing of barrier options are presented to demonstrate the methods. <\/jats:p>","DOI":"10.1287\/moor.1070.0251","type":"journal-article","created":{"date-parts":[[2007,9,6]],"date-time":"2007-09-06T17:28:09Z","timestamp":1189099689000},"page":"508-527","source":"Crossref","is-referenced-by-count":14,"title":["Adaptive Control Variates for Finite-Horizon Simulation"],"prefix":"10.1287","volume":"32","author":[{"given":"Sujin","family":"Kim","sequence":"first","affiliation":[{"name":"School of Industrial Engineering, Purdue University, West Lafayette, Indiana 47907"}]},{"given":"Shane G.","family":"Henderson","sequence":"additional","affiliation":[{"name":"School of Operations Research and Information Engineering, Cornell University, Ithaca, New York 14853"}]}],"member":"109","reference":[{"key":"B1","doi-asserted-by":"publisher","DOI":"10.1007\/s10107-006-0708-6"},{"key":"B2","doi-asserted-by":"publisher","DOI":"10.1109\/WSC.2005.1574464"},{"key":"B3","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-21617-1"},{"key":"B4","doi-asserted-by":"publisher","DOI":"10.1287\/opre.37.1.82"},{"key":"B5","doi-asserted-by":"publisher","DOI":"10.1287\/moor.27.2.253.329"},{"key":"B6","doi-asserted-by":"publisher","DOI":"10.1145\/268437.268482"},{"key":"B7","author":"Henderson S. G.","year":"2005","journal-title":"IIE Trans. Oper. Engrg."},{"key":"B8","doi-asserted-by":"publisher","DOI":"10.1239\/jap\/1091543430"},{"key":"B9","doi-asserted-by":"publisher","DOI":"10.1023\/A:1022197004856"},{"key":"B10","doi-asserted-by":"publisher","DOI":"10.1109\/WSC.2004.1371369"},{"key":"B12","doi-asserted-by":"publisher","DOI":"10.1214\/aoap\/1029962748"},{"key":"B13","volume-title":"Stochastic Approximation and Recursive Algorithms and Applications","author":"Kushner H. J.","year":"2003","edition":"2"},{"key":"B14","volume-title":"Simulation Modeling and Analysis","author":"Law A. M.","year":"2000","edition":"3"},{"key":"B15","doi-asserted-by":"publisher","DOI":"10.1287\/mnsc.41.4.738"},{"key":"B16","doi-asserted-by":"publisher","DOI":"10.1007\/978-94-009-2438-3"},{"key":"B17","doi-asserted-by":"publisher","DOI":"10.1080\/00949650215726"},{"key":"B18","doi-asserted-by":"publisher","DOI":"10.1109\/TAC.2005.852564"},{"key":"B19","doi-asserted-by":"publisher","DOI":"10.1287\/moor.18.4.829"},{"key":"B20","doi-asserted-by":"publisher","DOI":"10.1016\/S0927-0507(03)10006-0"},{"key":"B21","doi-asserted-by":"publisher","DOI":"10.1002\/0471722138"},{"key":"B22","unstructured":"Tadi\u0107 V. B., Meyn S. P. Adaptive Monte Carlo algorithms using control variates (2004) Working paper, Department of Electronical and Computer Engineering, University of Illinois at Urbana-Champaign, Urbana, IL"}],"container-title":["Mathematics of Operations Research"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/pubsonline.informs.org\/doi\/pdf\/10.1287\/moor.1070.0251","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,4,2]],"date-time":"2023-04-02T11:31:55Z","timestamp":1680435115000},"score":1,"resource":{"primary":{"URL":"https:\/\/pubsonline.informs.org\/doi\/10.1287\/moor.1070.0251"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2007,8]]},"references-count":21,"journal-issue":{"issue":"3","published-print":{"date-parts":[[2007,8]]}},"alternative-id":["10.1287\/moor.1070.0251"],"URL":"https:\/\/doi.org\/10.1287\/moor.1070.0251","relation":{},"ISSN":["0364-765X","1526-5471"],"issn-type":[{"value":"0364-765X","type":"print"},{"value":"1526-5471","type":"electronic"}],"subject":[],"published":{"date-parts":[[2007,8]]}}}