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Сентябрь
2019

Multilevel Monte Carlo Estimation of Unbiased Expectation via Sample Reuse and the Low Variance Estimation of Asymptotic Rates

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Abstract: A new variant of the multilevel Monte Carlo estimator [5, 3, 9, 12] is presented for the estimation of expectation statistics that utilizes sample reuse in specified levels, explicitly removes approximation error bias associated with numerically computed output quantities of interest that have an asymptotic limit behavior, and permits a low variance estimate of the asymptotic rate of convergence to that limit. In addition, it is shown that this new multilevel Monte Carlo variant can yield a c...



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