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Digital Dice by Paul J. Nahin

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APPENDIX 2

An Example of Variance Reduction in the Monte Carlo Method

The material in this appendix, somewhat more technical than most of the rest of the book, is an elaboration on an issue raised in the introduction: How good are the results of a Monte Carlo simulation? This question is a very deep one, and one could, if one wished, spend the rest of one’s career pursuing the answer. Because I don’t wish to do so, this appendix will have to suffice. Still, if the discussion that follows prompts you to look further into the matter on your own,1 that’s good, and I applaud you. You’ll be a better analyst for the effort. For most of us, however, ...

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