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)


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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