## The Asymptotic Efficiency of Simulation Estimators
A decision-theoretic framework is proposed for evaluating the efficiency of simulation estimators. The framework includes the cost of obtaining the estimate as well as the cost of acting based on the estimate. The cost of obtaining the estimate and the estimate itself are represented as realizations of jointly distributed stochastic processes. In this context, the efficiency of a simulation estimator based on a given computational budget is defined as the reciprocal of the risk (the overall expected cost). This framework is appealing philosophically, but it is often difficult to apply in practice (e.g., to compare the efficiency of two different estimators) because only rarely can the efficiency associated with a given computational budget be calculated. However, a useful practical framework emerges in a large sample context when we consider the limiting behavior as the computational budget increases. A limit theorem established for this model supports and extends a fairly well known efficiency principle, proposed by Hammersley and Handscomb (1964), p. 22: ββThe efficiency of a Monte Carlo process may be taken as inversely proportional to the product of the sampling variance and the amount of labour expended in obtaining this estimate.ββ |