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research article
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.
Type
research article
Web of Science ID
WOS:000335817600024
Authors
Publication date
2014
Publisher
Published in
Volume
36
Issue
2
Start page
A869
End page
A885
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
June 23, 2014
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