Antithetic variates in higher dimensions

Abstract

We introduce the concept of multidimensional antithetic as the absolute minimum of the covariance defined on the orthogonal group by $A\mapsto Cov(f(ξ),f(Aξ))$ where $ξ$ is a standard $N$-dimensional normal random variable and $f:\mathbb{R}^{N}\to\mathbb{R}$ is an almost everywhere differentiable function. The antithetic matrix is designed to optimise the calculation of $E[f(ξ)]$ in a Monte Carlo simulation. We present an iterative annealing algorithm that dynamically incorporates the estimation of the antithetic matrix within the Monte Carlo calculation.