et
be some random variables with finite second moments and
We assume that
is known and
is easy to simulate. The
is the variable of interest for some original problem. We mean to improve
speed of convergence by calculating
instead of
.
We
have
We are looking for the value of
that delivers the minimum of the above
expression.
We see that for efficiency of this technique we need an easily simulated
variable
that has strong correlation with the variable of interest
.