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A Simple Sequential Stopping Rule for Monte Carlo Simulation
Citation
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 |
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| Author/s: |
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| Item Type: | Article |
| Título de Revista/Publicación: | IEEE Transactions on Communications |
| Date: | February 2006 |
| ISSN: | 0090-6778 |
| 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 |
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 |
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| DC Identifier: | https://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 |
