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On the optimization of Monte-Carlo simulations

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  • Kalda, Jaan

Abstract

The optimal planning of Monte-Carlo simulations is studied. It is assumed that (i) the aim of the simulations is to calculate the value of a certain parameter of a model function as accurately as possible; (ii) the simulations are performed at different values of the control parameter L; (iii) the parameters of the model function are calculated by the means of least-square fit. It is shown that the standard deviation of the outcome achieves minimum when the number of test points (i.e. different values of the parameter L used in simulations) equals the number n of unknown parameters in the model function.

Suggested Citation

  • Kalda, Jaan, 1997. "On the optimization of Monte-Carlo simulations," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 246(3), pages 646-658.
    • Handle: RePEc:eee:phsmap:v:246:y:1997:i:3:p:646-658
    DOI: 10.1016/S0378-4371(97)00354-3
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