## 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:
ISSN:
1064-8275
Keywords:
Laboratories: