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Binary decompositions of probability densities and random-bit simulation

  • Vladimir Nekrutkin EMAIL logo

Abstract

This paper is devoted to random-bit simulation of probability densities, supported on [0,1]. The term “random-bit” means that the source of randomness for simulation is a sequence of symmetrical Bernoulli trials. In contrast to the pioneer paper [D. E. Knuth and A. C. Yao, The complexity of nonuniform random number generation, Algorithms and Complexity, Academic Press, New York 1976, 357–428], the proposed method demands the knowledge of the probability density under simulation, and not the values of the corresponding distribution function. The method is based on the so-called binary decomposition of the density and comes down to simulation of a special discrete distribution to get several principal bits of output, while further bits of output are produced by “flipping a coin”. The complexity of the method is studied and several examples are presented.

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Received: 2020-02-03
Accepted: 2020-03-25
Published Online: 2020-04-17
Published in Print: 2020-06-01

© 2020 Walter de Gruyter GmbH, Berlin/Boston

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