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The Bias-Variance Dilemma of the Monte Carlo Method

  • Zlochin Mark
  • Yoram Baram
Conference paper
Part of the Lecture Notes in Computer Science book series (LNCS, volume 2130)

Abstract

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 find 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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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Zlochin Mark
    • 1
  • Yoram Baram
    • 1
  1. 1.Technion - Israel Institute of TechnologyTechnion City HaifaIsrael

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