On nonasymptotic optimal stopping criteria in Monte Carlo simulations

DOI10.1137/130911433zbMATH Open1296.65003OpenAlexW2103628129MaRDI QIDQ2875009FDOQ2875009

Authors: Christian Bayer, R. Tempone, Erik von Schwerin, Håkon Hoel 

Publication date: 13 August 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10754/555670

Recommendations

• scientific article; zbMATH DE number 5558051
• Determining the optimal sample size in the Monte Carlo experiments
• Optimal Monte Carlo integration with fixed relative precision
• Nonlinear stochastic optimization by the Monte-Carlo method
• A principled stopping rule for importance sampling

zbMATH Keywords

nonasymptoticnumerical examplesMonte Carlo methodsoptimal stoppingsequential stopping rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Sequential estimation (62L12) Optimal stopping in statistics (62L15)

Cited In (8)

• Determining the optimal sample size in the Monte Carlo experiments
• A principled stopping rule for importance sampling
• Optimization of mesh hierarchies in multilevel Monte Carlo samplers
• Title not available (Why is that?)
• Relative fixed-width stopping rules for Markov chain Monte Carlo simulations
• Extending the multi-level method for the simulation of stochastic biological systems
• Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
• Estimation of arbitrary order central statistical moments by the multilevel Monte Carlo method

This page was built for publication: On nonasymptotic optimal stopping criteria in Monte Carlo simulations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2875009)