Minimization Of Computational Costs Of Non-analogue Monte Carlo Methods
Jan 1992 · Series On Soviet And East European Mathematics Book 5 · World Scientific
Ebook
172
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About this ebook
Non-analogue Monte Carlo methods are useful when the direct simulation techniques are insufficient. To use the additional discretization, Monte Carlo estimates are biased and it is desirable to optimize the connection between discretization parameters and the sample size. In this connection, the book investigates variances of non-analogue Monte Carlo estimates, uniform minimization of variances by choosing a computational model and the minimization of computational cost of non-analogue Monte Carlo methods.This book is essentially new with respect to previous monographs on the Monte Carlo methods.
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