Inference of Monte Carlo Properties from the Solution of a Known Problem.

by J. I. Marcum

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An example showing that the sample variance in a Monte Carlo problem may be used to estimate the error of the sample mean though the variance of the distribution function itself is infinite. The Monte Carlo method is sometimes used to solve complicated problems involving the transport of nuclear radiation when solution by other means is prohibitively complicated. However, one of the main disadvantages of the Monte Carlo method, or, for that matter, any other method of random sampling, is the uncertainty surrounding the accuracy of the answers. This Memorandum solves, by means of Monte Carlo, a problem with a known analytical solution. Comparison of the Monte Carlo solutions with the known solutions helps to determine the accuracy of Monte Carlo results in practical problems. 38 pp.

This report is part of the RAND Corporation Research memorandum series. The Research Memorandum was a product of the RAND Corporation from 1948 to 1973 that represented working papers meant to report current results of RAND research to appropriate audiences.

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