Optimization of Randomized Monte Carlo Algorithms for Solving Problems with Random Parameters

Аннотация

Randomized Monte Carlo algorithms intended for statistical kernel estimation of the averaged solution to a problem with random baseline parameters are optimized. For this purpose, a criterion for the complexity of a functional Monte Carlo estimate is formulated. The algorithms involve a splitting method in which, for each realization of the parameters, a certain number of trajectories of the corresponding baseline process are constructed.