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 -