Standard

Choice of a constant in the expression for the error of the Monte Carlo method. / Bryzgalov, Viktor; Shlimbetov, Nurlibay; Voytishek, Anton.

In: Monte Carlo Methods and Applications, Vol. 30, No. 2, 01.06.2024, p. 131-136.

Research output: Contribution to journal › Article › peer-review

Harvard

Bryzgalov, V, Shlimbetov, N & Voytishek, A 2024, 'Choice of a constant in the expression for the error of the Monte Carlo method', Monte Carlo Methods and Applications, vol. 30, no. 2, pp. 131-136. https://doi.org/10.1515/mcma-2024-2004

APA

Bryzgalov, V., Shlimbetov, N., & Voytishek, A. (2024). Choice of a constant in the expression for the error of the Monte Carlo method. Monte Carlo Methods and Applications, 30(2), 131-136. https://doi.org/10.1515/mcma-2024-2004

Vancouver

Bryzgalov V, Shlimbetov N, Voytishek A. Choice of a constant in the expression for the error of the Monte Carlo method. Monte Carlo Methods and Applications. 2024 Jun 1;30(2):131-136. doi: 10.1515/mcma-2024-2004

Author

Bryzgalov, Viktor ; Shlimbetov, Nurlibay ; Voytishek, Anton. / Choice of a constant in the expression for the error of the Monte Carlo method. In: Monte Carlo Methods and Applications. 2024 ; Vol. 30, No. 2. pp. 131-136.

BibTeX

@article{3f25335bea0d4b39be7d901e2bfcb81d,
title = "Choice of a constant in the expression for the error of the Monte Carlo method",
abstract = "This paper considers three approaches to choosing the constant H in the expression H √D ζ / √n for the error of the Monte Carlo method for numerical calculation of mathematical expectation E ζ of a random variable ζ: in probability, in mean square and in mean.In practical studies using the Monte Carlo method, when estimating the calculation error, it is recommended to use the {"}in mean{"}approach with the constant H = √2π = 0.79788456079.",
keywords = "General scheme of the Monte Carlo method, choice of a constant in the expression for the error of the Monte Carlo method, computer approximation of mathematical expectation using sample mean, error of the Monte Carlo method",
author = "Viktor Bryzgalov and Nurlibay Shlimbetov and Anton Voytishek",
note = "The research was carried out under state contract with ICMMG SB RAS FWNM–2022–0002.",
year = "2024",
month = jun,
day = "1",
doi = "10.1515/mcma-2024-2004",
language = "English",
volume = "30",
pages = "131--136",
journal = "Monte Carlo Methods and Applications",
issn = "0929-9629",
publisher = "Walter de Gruyter GmbH",
number = "2",

}

RIS

TY - JOUR

T1 - Choice of a constant in the expression for the error of the Monte Carlo method

AU - Bryzgalov, Viktor

AU - Shlimbetov, Nurlibay

AU - Voytishek, Anton

N1 - The research was carried out under state contract with ICMMG SB RAS FWNM–2022–0002.

PY - 2024/6/1

Y1 - 2024/6/1

N2 - This paper considers three approaches to choosing the constant H in the expression H √D ζ / √n for the error of the Monte Carlo method for numerical calculation of mathematical expectation E ζ of a random variable ζ: in probability, in mean square and in mean.In practical studies using the Monte Carlo method, when estimating the calculation error, it is recommended to use the "in mean"approach with the constant H = √2π = 0.79788456079.

AB - This paper considers three approaches to choosing the constant H in the expression H √D ζ / √n for the error of the Monte Carlo method for numerical calculation of mathematical expectation E ζ of a random variable ζ: in probability, in mean square and in mean.In practical studies using the Monte Carlo method, when estimating the calculation error, it is recommended to use the "in mean"approach with the constant H = √2π = 0.79788456079.

KW - General scheme of the Monte Carlo method

KW - choice of a constant in the expression for the error of the Monte Carlo method

KW - computer approximation of mathematical expectation using sample mean

KW - error of the Monte Carlo method

UR - https://www.scopus.com/record/display.uri?eid=2-s2.0-85191380467&origin=inward&txGid=d4510e9065b3a72dcc87344d4859a44f

UR - https://www.mendeley.com/catalogue/9b4375e4-344e-36f3-bb67-3791ab05fd95/

U2 - 10.1515/mcma-2024-2004

DO - 10.1515/mcma-2024-2004

M3 - Article

VL - 30

SP - 131

EP - 136

JO - Monte Carlo Methods and Applications

JF - Monte Carlo Methods and Applications

SN - 0929-9629

IS - 2

ER -

ID: 60875537