Choice of a constant in the expression for the error of the Monte Carlo method

Abstract

This paper considers three approaches to choosing the constant H in the expression H ⁢ 𝐃 ⁢ ζ / n {H\sqrt{{\mathbf{D}}\zeta}/\sqrt{n}} for the error of the Monte Carlo method for numerical calculation of mathematical expectation 𝐄 ⁢ ζ {{\mathbf{E}}\zeta} of a random variable ζ: in probability, in mean square and in mean.In practical studies using the Monte Carlo method, when estimating the calculation error, it is recommended to use the “in mean” approach with the constant H = 2 π = 0.79788456079 ⁢ … {H=\sqrt{\frac{2}{\pi}}=0.79788456079\dots}   .