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Teoriya Veroyatnostei i ee Primeneniya, 1972, Volume 17, Issue 3, Pages 518–533
(Mi tvp2662)
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This article is cited in 1 scientific paper (total in 1 paper)
On estimation of the error of Monte-Carlo technique caused by imperfections of the distribution of random numbers
G. A. Kozlov Moscow
Abstract:
An approach to estimation of the Monte-Carlo technique error caused by imperfections of the distribution of random numbers is proposed. The approach is illustrated by an example of the simple integral $\overline\varphi=\int_0^1\varphi(x)\,dx$ calculation by the method of indeopendent tests. The error is estimated by
$$
S=\sup U(\varphi),\quad\varphi\in G,\quad U(\varphi)=\Bigl(\int_0^1\varphi(x)\,dF(x)-\overline\varphi\Bigr)\bigg/\sqrt{\int_0^1(\varphi(x)-\overline\varphi)^2\,dx},
$$
where $F$ is the distribution function of random numbers in the interval $[0,1]$, $G$ is the class of functions with finite “standartized variation”:
$$
G=\biggl\{\varphi\colon\bigvee_0^1\varphi\bigg/\sqrt{\int_0^1(\varphi(x)-\overline\varphi)^2\,dx}\le v\biggr\}.
$$
It is shown that the problem of determining the value $S$ can be reduced to a variational problem of finding the function that minimizes the functional $U(\varphi)=\int_0^1\varphi\,dF$ under the following restrictions:
$$
\int_0^1\varphi\,dx=0,\quad\int_0^1\varphi^2\,dx=1\quad\text{and}\quad\bigvee_0^1\varphi\le v
$$
A solution of this variational problem is given.
Received: 24.03.1970
Citation:
G. A. Kozlov, “On estimation of the error of Monte-Carlo technique caused by imperfections of the distribution of random numbers”, Teor. Veroyatnost. i Primenen., 17:3 (1972), 518–533; Theory Probab. Appl., 17:3 (1973), 493–509
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https://www.mathnet.ru/eng/tvp2662 https://www.mathnet.ru/eng/tvp/v17/i3/p518
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