An Optimal Algorithm for Monte Carlo Estimation

An Optimal Algorithm for Monte Carlo Estimation (1995)

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by Paul Dagum , Richard Karp , Michael Luby , Sheldon Ross

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Datum	Value	Source
TITLE	An Optimal Algorithm for Monte Carlo Estimation	user correction - Legacy Corrections
AUTHOR NAME	Paul Dagum	SVM HeaderParse 0.1
AUTHOR AFFIL	y	SVM HeaderParse 0.2
AUTHOR NAME	Richard Karp	SVM HeaderParse 0.1
AUTHOR AFFIL	y	SVM HeaderParse 0.2
AUTHOR NAME	Michael Luby	SVM HeaderParse 0.1
AUTHOR NAME	Sheldon Ross	SVM HeaderParse 0.1
AUTHOR AFFIL	; Section on Medical Informatics, Stanford University School of Medicine, Stanford, CA 94305-5479.; International Computer Science Institute, Berkeley, CA 94704.; International Computer Science Institute, Berkeley, CA, and Computer Science Division	SVM HeaderParse 0.2
ABSTRACT	A typical approach to estimate an unknown quantity is to design an experiment that produces a random variable Z distributed in [0; 1] with E[Z] = , run this experiment independently a number of times and use the average of the outcomes as the estimate. In this paper, we consider the case when no a priori information about Z is known except that is distributed in [0; 1]. We describe an approximation algorithm AA which, given ffl and ffi, when running independent experiments with respect to any Z, produces an estimate that is within a factor 1 + ffl of with probability at least 1 \Gamma ffi. We prove that the expected number of experiments run by AA (which depends on Z) is optimal to within a constant factor for every Z. An announcement of these results appears in P. Dagum, D. Karp, M. Luby, S. Ross, "An optimal algorithm for Monte-Carlo Estimation (extended abstract)", Proceedings of the Thirtysixth IEEE Symposium on Foundations of Computer Science, 1995, pp. 142-149 [3]. Section ...	user correction - Legacy Corrections
YEAR	1995	user correction - Legacy Corrections
CITATIONS	22 found	ParsCit 1.0