Recursive rounding of sample size estimation for multi-fidelity Monte Carlo (Q7284533)
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| English | Recursive rounding of sample size estimation for multi-fidelity Monte Carlo |
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Recursive rounding of sample size estimation for multi-fidelity Monte Carlo (English)
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31 July 2026
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math.NA
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Jiaxing Liang
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We reformulate multifidelity Monte Carlo allocation as a cost minimization problem and construct an integer allocation strategy via recursive rounding. The resulting strategy extends to multilevel Monte Carlo, achieving lower computational overhead while satisfying the prescribed variance tolerance compared to standard rounding methods.
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Multi-fidelity
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Monte Carlo
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Sample Size
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Optimization
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