The Bias-Variance Dilemma of the Monte Carlo Method

  • Authors:
  • Mark Zlochin;Yoram Baram

  • Affiliations:
  • -;-

  • Venue:
  • ICANN '01 Proceedings of the International Conference on Artificial Neural Networks
  • Year:
  • 2001

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Abstract

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.W e show that it is possible to construct a biased approximation scheme with a lower approximation error than a related unbiased algorithm.