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Monte Carlo Simulation
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Random Sampling
The process of generating random variables from a known probability distribution to simulate diverse outcomes in a system.
Probability Distribution
A mathematical function that provides the probabilities of occurrence of different possible outcomes in an experiment.
Monte Carlo Integration
A technique for estimating the value of an integral using random sampling.
Convergence
The process by which Monte Carlo simulation results become closer to the true value as more iterations are performed.
Law of Large Numbers
A principle that states that as a sample size grows, its mean gets closer to the average of the whole population.
Variance Reduction Techniques
Methods employed in Monte Carlo simulations to decrease the variance of the simulation results without increasing the number of samples.
Antithetic Variates
A variance reduction technique that involves using negatively correlated variables to decrease the variance of the simulation.
Control Variates
A variance reduction technique that improves estimation precision by exploiting the correlation between the variable of interest and a control variable with a known expected value.
Importance Sampling
A variance reduction technique that involves changing the probability distribution to draw samples from areas where the integrand is large.
Bootstrap Method
A resampling technique used to estimate statistics on a population by sampling a dataset with replacement.
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