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., 2008, Volume 48, Number 9,Pages <nobr>1543

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

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.

UDC: 519.676

Received: 14.09.2007
Revised: 06.12.2007