The Bias-Variance Dilemma of the Monte Carlo Method
نویسندگان
چکیده
We investigate the setting in which Monte Carlo methods are used and draw a parallel to the formal setting of statistical inference. In particular, we nd that Monte Carlo approximation gives rise to a bias-variance dilemma. We show that it is possible to construct a biased approximation schemes with a lower approximation error than a related unbiased algorithms.
منابع مشابه
The Bias - Variance dilemma of the Monte
We investigate the setting in which Monte Carlo methods are used and draw a parallel to the formal setting of statistical inference. In particular, we nd that Monte Carlo approximation gives rise to a bias-variance dilemma. We show that it is possible to construct a biased approximation scheme with a lower approximation error than a related unbiased algorithm.
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