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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 language | English |
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Pages (from-to) | 163-169 |
Number of pages | 7 |
Journal | Monte Carlo Methods and Applications |
Volume | 26 |
Issue number | 2 |
DOIs | |
State | Published - 1 Jun 2020 |
ID: 53952228