Variance reduction#

The same expectation from fewer samples: stratification, importance sampling, antithetic variates, Latin hypercubes, control variates and moment matching, each compared with crude Monte Carlo.

Neyman stratification

Neyman stratification

Kahn-Marshall importance sampling

Kahn-Marshall importance sampling

Hammersley-Morton antithetic variates

Hammersley-Morton antithetic variates

McKay-Beckman-Conover Latin hypercube

McKay-Beckman-Conover Latin hypercube

Lavenberg-Welch control variates

Lavenberg-Welch control variates

Barraquand moment matching

Barraquand moment matching