DOI

This paper is devoted to random-bit simulation of probability densities, supported on [ 0, 1[ {[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.

Original languageEnglish
Pages (from-to)163-169
Number of pages7
JournalMonte Carlo Methods and Applications
Volume26
Issue number2
DOIs
StatePublished - 1 Jun 2020

    Scopus subject areas

  • Applied Mathematics
  • Statistics and Probability

    Research areas

  • complexity of simulation, Random-bit simulation, COMPLEXITY

ID: 53952228