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Teoriya Veroyatnostei i ee Primeneniya, 1980, Volume 25, Issue 2, Pages 407–415
(Mi tvp1219)
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Short Communications
An error of the Monte-Carlo calculation of the integral by means of a physical generator of random codes
G. A. Kozlov Leningrad
Abstract:
An error of the calculation of a simple integral ¯φ=∫10φdx by the method of
independent tests is estimated in the case when a sequential physical generator of stationary
random binary codes with independent digits is used as a source of the random numbers.
The imperfection of such a generator can be determined by the value ε=P(0)−P(1),
P(0) and P(1) being the probabilities of 0 and 1 in the code produced.
The error mentioned is estimated by the value
S(v)=sup{Δφ/√Dφ: φ∈G(v)},
where Δφ=∫10φdF−¯φ, Dφ=∫10(φ−¯φ)2dx, F is the actual distribution function of random numbers (if ε=0 then F(x)=x, Δφ=0 and S=0) and G(v)={φ:⋁10φ/√Dφ⩽ is the class of functions with a finite standartized variation.
We prove the relation \lim_{\varepsilon\to\infty}S(v)/|\,\varepsilon\,|=S^*(v) and calculate the function S^*. The results may be applied for determining the permissible values of the parameter \varepsilon of the random code generator's imperfection.
Received: 10.05.1976 Revised: 16.04.1978
Citation:
G. A. Kozlov, “An error of the Monte-Carlo calculation of the integral by means of a physical generator of random codes”, Teor. Veroyatnost. i Primenen., 25:2 (1980), 407–415; Theory Probab. Appl., 25:2 (1981), 401–408
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https://www.mathnet.ru/eng/tvp1219 https://www.mathnet.ru/eng/tvp/v25/i2/p407
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Abstract page: | 268 | Full-text PDF : | 154 | First page: | 3 |
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