Computing the variance of a conditional expectation via non-nested Monte Carlo

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• 作者：Takashi Goda ^{goda@frcer.t.u-tokyo.ac.jp}
• 关键词：Variance of a conditional expectation ; Monte Carlo estimation ; Pick-freeze scheme ; Bias correction
• 刊名：Operations Research Letters
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：45
• 期：1
• 页码：63-67
• 全文大小：422 K
• 卷排序：45

文摘

Computing the variance of a conditional expectation has often been of importance in uncertainty quantification. Sun et al. has introduced an unbiased nested Monte Carlo estimator, which they call 112-level simulation since the optimal inner-level sample size is bounded as the computational budget increases. In this letter, we construct unbiased non-nested Monte Carlo estimators based on the so-called pick-freeze scheme due to Sobol’. An extension of our approach to compute higher order moments of a conditional expectation is also discussed.