A Simple Sequential Stopping Rule for Monte Carlo Simulation

Mendo Tomás, Luis and Hernando Rábanos, José María (2006). A Simple Sequential Stopping Rule for Monte Carlo Simulation. "IEEE Transactions on Communications", v. 54 (n. 2); pp. 231-241. ISSN 0090-6778. https://doi.org/10.1109/TCOMM.2005.863780.

Description

Title: A Simple Sequential Stopping Rule for Monte Carlo Simulation
Author/s:
  • Mendo Tomás, Luis
  • Hernando Rábanos, José María
Item Type: Article
Título de Revista/Publicación: IEEE Transactions on Communications
Date: February 2006
Volume: 54
Subjects:
Freetext Keywords: Simulation, Monte Carlo methods, sequential stopping rule, importance sampling
Faculty: E.T.S.I. Telecomunicación (UPM)
Department: Señales, Sistemas y Radiocomunicaciones
Creative Commons Licenses: None

Full text

[img]
Preview
PDF - Requires a PDF viewer, such as GSview, Xpdf or Adobe Acrobat Reader
Download (547kB) | Preview

Abstract

In this paper, a sequential stopping rule for the estimation of a probability p by means of Monte Carlo simulation is analyzed. It is shown that the proposed estimator is almost unbiased, and guarantees a given relative precision irrespective of p. Under very mild conditions, the method also guarantees a certain confidence level for a given relative estimation error, provided that p does not exceed a maximum value. An extension to importance sampling is discussed.

More information

Item ID: 4349
DC Identifier: http://oa.upm.es/4349/
OAI Identifier: oai:oa.upm.es:4349
DOI: 10.1109/TCOMM.2005.863780
Deposited by: Dr. Luis Mendo
Deposited on: 23 Sep 2010 09:51
Last Modified: 20 Apr 2016 13:37
  • Logo InvestigaM (UPM)
  • Logo GEOUP4
  • Logo Open Access
  • Open Access
  • Logo Sherpa/Romeo
    Check whether the anglo-saxon journal in which you have published an article allows you to also publish it under open access.
  • Logo Dulcinea
    Check whether the spanish journal in which you have published an article allows you to also publish it under open access.
  • Logo de Recolecta
  • Logo del Observatorio I+D+i UPM
  • Logo de OpenCourseWare UPM