Abstract:The control variates method is a classical variance reduction technique for Monte Carlo estimators that exploits correlated auxiliary variables without introducing bias. In many applications, the quantity of interest can be expressed as a ratio of expectations. We propose a variance-reduced estimator for such ratios, which applies control variates to both the numerator and the denominator. The control variates coefficients are optimized jointly to minimize the approximated variance of the resulting estimator. This approach guarantees variance reduction and naturally extends to approximate control variates. Simulation studies show significant variance reduction, particularly when correlations between variables and control variates are strong. The practical value of the method is illustrated on multi-fidelity applications: estimating a proportion in an aircraft design use case and a conditional value-at-risk in an electromagnetic dataset.
From: Louison Bocquet-Nouaille [view email]
[v1]
Wed, 15 Oct 2025 12:54:47 UTC (727 KB)
[v2]
Fri, 7 Nov 2025 15:48:51 UTC (4,487 KB)
[v3]
Fri, 10 Jul 2026 16:20:35 UTC (181 KB)
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