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Accurate and consistent calculation of the mean and variance in...

Author
Jherek Healy
Date Updated
2022/06/22
Category
q-fin.CP
Date Published
2022/06/10
Date Retrieved
2022/06/23
Description
In parallelized Monte-Carlo simulations, the order of summation is not always the same. When the mean is calculated in running fashion, this may create an artificial randomness in results which ought to be reproducible. This note takes a look at the problem and proposes to combine the running mean and variance algorithm with an accurate and robust summing algorithm in order to increase the accuracy and robustness of the Monte-Carlo estimates.
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