Antithetic Sampling with Multivariate Inputs

SYNOPTIC ABSTRACT

This paper extends the “antithetic-variates theorem” to include the case of two or more random variables, each of which is generated by a sampling scheme requiring a fixed-dimension input vector of independent random numbers. Three examples illustrate the application of this result in Monte Carlo work.

Key Words and Phrases:

• Monte Carlo methods
• simulation
• efficiency
• variance-reduction techniques
• antithetic variates