Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5128458 | Operations Research Letters | 2017 | 5 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Takashi Goda,