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Antithetic variates

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Abstract Antithetic variates are used to reduce the experimental error in Monte Carlo experiments. Monte Carlo experiments use random numbers as the fundamental experimental units. The basic idea in antithetic variates is to introduce experimental units that are negatively correlated with other experimental units. The variance of the mean of two such units is the mean of their individual variances plus their negative covariance. Copyright © 2009 John Wiley & Sons, Inc. This article is categorized under: Algorithms and Computational Methods > Random Number Generation

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