Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Computing the variance of a conditional expectation via non-nested Monte
  Carlo   Computing the variance of a conditional expectation has often been of
importance in uncertainty quantification. Sun et al. has introduced an unbiased
nested Monte Carlo estimator, which they call $1\frac{1}{2}$-level simulation
since the optimal inner-level sample size is bounded as the computational
budget increases. In this letter we construct unbiased non-nested Monte Carlo
estimators based on the so-called pick-freeze scheme due to Sobol'. An
extension of our approach to compute higher order moments of a conditional
expectation is also discussed.

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The categories of this paper are: hep-ph
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The categories of this paper are: cond-mat
29
The categories of this paper are: funct-an
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The categories of this paper are: nucl-ex
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The categories of this paper are: chao-dyn
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The categories of this paper are: comp-gas
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The categories of this paper are: nlin
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The categories of this paper are: solv-int
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The categories of this paper are: hep-ex
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The categories of this paper are: supr-con
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The categories of this paper are: physics
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The categories of this paper are: q-bio
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The categories of this paper are: hep-lat
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The categories of this paper are: math-ph
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The categories of this paper are: dg-ga
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The categories of this paper are: cmp-lg