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