A1254
Title: Control variates for variance-reduced ratio of means estimators
Authors: Louison Bocquet-Nouaille - ISAE-SUPAERO (France) [presenting]
Jerome Morio - ONERA (France)
Benjamin Bobbia - ISAE-Supaero (France)
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. The aim is to propose a new variance-reduced estimator for such ratios, which applies control variates to both the numerator and the denominator. The control variate coefficients are optimized jointly to minimize the 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 the correlation between variables and control variates is strong. The practical value of the method is demonstrated through an aerospace case study.
