Review on Monte Carlo Simulation Stopping Rules: How Many Samples Are Really Enough?

Abstract

Due to extensive usage of stochastic simulation models correct execution of Monte Carlo simulation has become more and more important. Hereby the unknown real mean of the simulation result is estimated by the sample mean of a large number of simulation evaluations. Unfortunately, this procedure is often done carelessly. Modellers commonly use replication counts without scientific justification and sometimes underestimate the consequences of a bad or even wrong choice: