Accurate and consistent calculation of the mean and variance in Monte-Carlo simulations

Code

• github.com/jherekhealy/MonteCarloMeanVarianceExamples.jl
  OfficialIn papernone★ 0

Abstract

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.

Reproductions