On nonasymptotic optimal stopping criteria in monte carlo simulations
2014 (English)In: SIAM Journal on Scientific Computing, ISSN 1064-8275, E-ISSN 1095-7197, Vol. 36, no 2, A869-A885 p.Article in journal (Refereed) Published
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
2014. Vol. 36, no 2, A869-A885 p.
Monte Carlo methods, optimal stopping, sequential stopping rules, nonasymptotic
IdentifiersURN: urn:nbn:se:kth:diva-147082DOI: 10.1137/130911433ISI: 000335817600024ScopusID: 2-s2.0-84899660875OAI: oai:DiVA.org:kth-147082DiVA: diva2:727977
FunderSwedish Research Council
QC 201406232014-06-232014-06-232014-06-23Bibliographically approved