Original paper
Optimal unbiased estimation for expected cumulative discounted cost
Volume: 286, Issue: 2, Pages: 604 - 618
Published: Oct 1, 2020
Abstract
We consider estimating an expected infinite-horizon cumulative discounted cost/reward contingent on an underlying stochastic process by Monte Carlo simulation. An unbiased estimator based on truncating the cumulative cost at a random horizon is proposed. Explicit forms for the optimal distributions of the random horizon are given, and explicit expressions for the optimal random truncation level are obtained, leading to a full analysis of the...
Paper Details
Title
Optimal unbiased estimation for expected cumulative discounted cost
Published Date
Oct 1, 2020
Volume
286
Issue
2
Pages
604 - 618
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