eldo_user

Monte Carlo Analysis
SETTLING Technique
Related Topics
MCCONV Extract Function
SETTLING Technique
The SETTLING method controls the absolute and relative errors with a simple moving average
of the estimator μ. In other words, the unweighted mean of the previous w data points is
computed:
and we test for all
the inequality:
where ε ABS and ε REL are respectively the absolute tolerance and the relative tolerances for
convergence, with default values ε ABS = 10 −2 and ε REL = 10 −2 .
Figure 11-19. Principle of the SETTLING Procedure
The parameter w is the size of the ‘window’ used within the test.
Related Topics
MCCONV Extract Function
Eldo® User's Manual, 15.3 517