## The Optimal Linear Combination of Control Variates in the Presence of Asymptotically Negligible Bias
The optimal linear combination of control variates is well known when the controls are
assumed to be unbiased. We derive here the optimal linear combination of controls in
the situation where asymptotically negligible bias is present. The small-sample linear
control which minimizes the mean square error (MSE) is derived. When the optimal
asymptotic linear control is used rather than the optimal small-sample control, the degradation
in MSE is c/n |