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/lp/association-for-computing-machinery/a-bernoulli-factory-yIyFetQsyl
- Publisher
- Association for Computing Machinery
- Copyright
- Copyright © 1994 by ACM Inc.
- ISSN
- 1049-3301
- DOI
- 10.1145/175007.175019
- Publisher site
- See Article on Publisher Site
Abstract
A Bernoulli Factory M. S. KEANE Delft LJniversity and GEORGE York L. O ™BRIEN University of Technology Necessary procedure and sufficient to simulate conditions a Bernoulli on a function variable with f(p) are given for the existence of a simulation success probability constrained jl p ) from independent @ of Bernoulli [0, variables with success probability p, with p being to lie in a subset 11but otherwise and unknown. Descriptors: 1.6.6 [Simulation and Modeling]: Simulation Output Categories Analysis Subject General Additional Terms: Theory Key Words and Phrases: Bernoulli random variables and sequences, simulation INTRODUCTION The following question was raised by S. Asmussen at the 1991 Lunteren meeting for Dutch probabilists and statisticians. It arose in connection with the article by Asmussen et al. [ 1992]. Let Z be a Bernoulli random variable, p and the value O with probability 1 “ p. taking the value 1 with probability Suppose that O < p < 1/2, but is otherwise independent realizations of Z and auxiliary tions, to simulate a Bernoulli variable with unknown. variables Is it possible, using with known distribu2p? It is to be Markov success probability emphasized that the simulation mechanism must not depend on p. The
Journal
ACM Transactions on Modeling and Computer Simulation (TOMACS) – Association for Computing Machinery
Published: Apr 1, 1994