On non-asymptotic optimal stopping criteria in Monte Carlo simulations
2012 (English)Report (Other academic)
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.
Place, publisher, year, edition, pages
2012. , 16 p.
Trita-NA, ISSN 0348-2952 ; 2012:7
Monte Carlo methods; optimal stopping; sequential stopping rules; non-asymptotic
Probability Theory and Statistics Computer Science
IdentifiersURN: urn:nbn:se:kth:diva-94109OAI: oai:DiVA.org:kth-94109DiVA: diva2:525380
QC 201205082012-05-082012-05-072012-05-08Bibliographically approved