On Nonasymptotic Optimal Stopping Criteria In Monte Carlo Simulations

We consider the setting of estimating the mean of a random variable by a sequential stopping rule Monte Carlo (MC) method. The performance of a typical second moment based sequential stopping rule MC method is shown to be unreliable in such settings both by numerical examples and through analysis. By analysis and approximations, we construct a higher moment based stopping rule which is shown in numerical examples to perform more reliably and only slightly less efficiently than the second moment based stopping rule.


Published in:
Siam Journal On Scientific Computing, 36, 2, A869-A885
Year:
2014
Publisher:
Philadelphia, Siam Publications
ISSN:
1064-8275
Keywords:
Laboratories:




 Record created 2014-06-23, last modified 2018-01-28


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