|
Teoriya Veroyatnostei i ee Primeneniya, 1980, Volume 25, Issue 2, Pages 407–415
(Mi tvp1219)
|
|
|
|
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 $\overline\varphi=\int_0^1\varphi\,dx$ 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 $\varepsilon=P(0)-P(1)$,
$P(0)$ and $P(1)$ being the probabilities of 0 and 1 in the code produced.
The error mentioned is estimated by the value
$$
S(v)=\sup\{\Delta\varphi/\sqrt{\mathbf D\varphi}:\ \varphi\in G(v)\},
$$
where $\Delta\varphi=\int_0^1\varphi\,dF-\overline{\varphi}$, $\mathbf D\varphi=\int_0^1(\varphi-\overline{\varphi})^2\,dx$, $F$ is the actual distribution function of random numbers (if $\varepsilon=0$ then $F(x)=x$, $\Delta\varphi=0$ and $S=0$) and $G(v)=\{\varphi:\bigvee_0^1\varphi/\sqrt{\mathbf D\varphi}\le v\}$ 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
Linking options:
https://www.mathnet.ru/eng/tvp1219 https://www.mathnet.ru/eng/tvp/v25/i2/p407
|
Statistics & downloads: |
Abstract page: | 249 | Full-text PDF : | 143 | First page: | 3 |
|