ACES Trainee Presentation to the ACES Visiting Committee
Tarik Borogovac
Electrical & Computer Engineering - Boston University
Thursday - November 29, 2007
Physics Research Building - Room 595

"The Database Monte Carlo (DBMC) Approach to Obtaining Effective Control Variates"

The effectiveness of the method of control variates depends on the often-challenging task of identifying controls that are highly correlated with the estimation variable. We introduce a generic approach for obtaining effective controls. The core idea of the approach is to extract information at nominal parameter values and use this information to gain estimation efficiency at neighboring parameters. We generate a database of appropriate random elements and construct effective (single or multiple) control variates using database evaluations at nominal parameters. This approach is closely related to the method of Common Random Numbers, and the problem of selecting an appropriate set of controls can be formulated as the selection of a desirable basis in a properly defined Hilbert space.