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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
English version:
Theory of Probability and its Applications, 1981, Volume 25, Issue 2, Pages 401–408
DOI: https://doi.org/10.1137/1125052
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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\by G.~A.~Kozlov
\paper An error of the Monte-Carlo calculation of the integral by means of a~physical generator of random codes
\jour Teor. Veroyatnost. i Primenen.
\yr 1980
\vol 25
\issue 2
\pages 407--415
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\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=572577}
\zmath{https://zbmath.org/?q=an:0455.65022|0433.65017}
\transl
\jour Theory Probab. Appl.
\yr 1981
\vol 25
\issue 2
\pages 401--408
\crossref{https://doi.org/10.1137/1125052}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=A1980LU72000020}
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