Events and Probability Spaces · Monte Carlo Simulation

Lesson 4

Nikolai Chukhin · Alexander S. Kulikov

Problem. Suppose a Monte Carlo estimate is based on \(N\) independent trials. As a rough rule of thumb, its typical error is proportional to \(1/\sqrt{N}\). If we increase the number of trials from \(N\) to \(100N\), how should the typical error change?

5 points

  1. It should become about \(100\) times smaller.

  2. It should become about \(50\) times smaller.

  3. It should become about \(10\) times smaller.

  4. It should not change.