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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2008, Volume 48, Number 9, Pages 1543–1555 (Mi zvmmf106)  
Discrete stochastic consistent estimators of the Monte Carlo method

S. V. Busygin, A. V. Voitishek, A. I. Efremov, E. G. Kablukova

Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. akademika Lavrent'eva 6, Novosibirsk, 630090, Russia
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Abstract: The efficiency of discrete stochastic consistent estimators (the weighted uniform sampling and estimator with a correcting multiplier) of the Monte Carlo method is investigated. Confidence intervals and upper bounds on the variances are obtained, and the computational cost of the corresponding discrete stochastic numerical scheme is estimated.
Key words: standard Monte Carlo method, consistent estimators, weighted uniform sampling technique, Monte Carlo method with a correcting multiplier, bias, variance, confidence interval, computational cost, stochastic test system of functions.
Received: 14.09.2007
Revised: 06.12.2007
English version:
Computational Mathematics and Mathematical Physics, 2008, Volume 48, Issue 9, Pages 1508–1520
DOI: https://doi.org/10.1134/S0965542508090030
Bibliographic databases:
Document Type: Article
UDC: 519.676
Language: Russian
Citation: S. V. Busygin, A. V. Voitishek, A. I. Efremov, E. G. Kablukova, “Discrete stochastic consistent estimators of the Monte Carlo method”, Zh. Vychisl. Mat. Mat. Fiz., 48:9 (2008), 1543–1555; Comput. Math. Math. Phys., 48:9 (2008), 1508–1520
Citation in format AMSBIB
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