I am unknowledgeable about Monte Carlos. What would be the difference in the reliability/accuracy of the final expected value in a Monte Carlo simulation under the following two methods:
1) Run a 100k-iteration Monte Carlo simulation, five times over, get the average of each of the five simulations, and then take the average of the average of those five simulations
2) Run a 500k-iteration Monte Carlo once.
Presumably the second would be more accurate and reliable, but I am not sure how?
In: Mathematics
There are many different types of Monte Carlo methods used for many different purposes. As FriedFred said, in some cases it may take a long time to move away from the initial state, but in others it might be possible to get stuck in certain states so a large number of shorter runs might work better. In other cases it will make no difference.
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