Pierre André Zitt
Biography
Short bio: Laboratoire d'Analyse et de Mathématiques Appliquées de l'université Paris Est-Marne la Vallée.
Title: Reducing variance by reweighting samples
Abstract:
We discuss a variance reduction method adapted to cases where the variable of interest is correlated with a variable whose distribution is exactly known. The method may be seen as a generalization of control variates and post-stratification. Joint work with M. Rousset and Y. Xu
