WIAS Preprint No. 1774, (2013)
On non-asymptotic optimal stopping criteria in Monte Carlo simulations
Authors
- Bayer, Christian
ORCID: 0000-0002-9116-0039 - Hoel, Håkon
- von Schwerin, Erik
- Tempone, Raúl
2010 Mathematics Subject Classification
- 65C05 62L12 62L15
Keywords
- Monte Carlo methods, optimal stopping, sequential stopping rules, non-asymptotic
DOI
Abstract
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.
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