Hostname: page-component-cd9895bd7-dzt6s Total loading time: 0 Render date: 2024-12-23T23:55:40.535Z Has data issue: false hasContentIssue false

Nearly Optimal Bernoulli Factories for Linear Functions

Published online by Cambridge University Press:  01 February 2016

MARK HUBER*
Affiliation:
Claremont McKenna College, 850 Columbia Avenue, Claremont, CA 91711, USA (e-mail: [email protected])

Abstract

Suppose that X1, X2, . . . are independent identically distributed Bernoulli random variables with mean p. A Bernoulli factory for a function f takes as input X1, X2, . . . and outputs a random variable that is Bernoulli with mean f(p). A fast algorithm is a function that only depends on the values of X1, . . ., XT, where T is a stopping time with small mean. When f(p) is a real analytic function the problem reduces to being able to draw from linear functions Cp for a constant C > 1. Also it is necessary that Cp ⩽ 1 − ε for known ε > 0. Previous methods for this problem required extensive modification of the algorithm for every value of C and ε. These methods did not have explicit bounds on $\mathbb{E}[T]$ as a function of C and ε. This paper presents the first Bernoulli factory for f(p) = Cp with bounds on $\mathbb{E}[T]$ as a function of the input parameters. In fact, supp∈[0,(1−ε)/C]$\mathbb{E}[T]$ ≤ 9.5ε−1C. In addition, this method is very simple to implement. Furthermore, a lower bound on the average running time of any Cp Bernoulli factory is shown. For ε ⩽ 1/2, supp∈[0,(1−ε)/C]$\mathbb{E}[T]$≥0.004Cε−1, so the new method is optimal up to a constant in the running time.

Type
Paper
Copyright
Copyright © Cambridge University Press 2016 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1] Asmussen, S., Glynn, P. W. and Thorisson, H. (1992) Stationarity detection in the initial transient problem. ACM Trans. Model. Comput. Simul. 2 130157.Google Scholar
[2] Dagum, P., Karp, R., Luby, M. and Ross, S. (2000) An optimal algorithm for Monte Carlo estimation. SIAM J. Comput. 29 14841496.CrossRefGoogle Scholar
[3] Durrett, R. (2005) Probability: Theory and Examples, third edition, Brooks/Cole.Google Scholar
[4] Flegal, J. and Herbei, R. (2012) Exact sampling for intractable probability distributions via a Bernoulli factory. Electron. J. Statist. 6 1037.CrossRefGoogle Scholar
[5] Keane, M. S. and O'Brien, G. L. (1994) A Bernoulli factory. ACM Trans. Model. Comput. Simul. 4 213219.Google Scholar
[6] atuszyński, K., Kosmidis, I., Papaspiliopoulos, O. and Roberts, G. O. (2011) Simulation events of unknown probability via reverse time martingales. Random Struct. Alg. 38 441452.Google Scholar
[7] Nacu, S. and Peres, Y. (2005) Fast simulation of new coins from old. Ann. Appl. Probab. 15 93115.Google Scholar
[8] Thomas, A. C. and Blanchet, J. (2011) A practical implementation of the Bernoulli factory. arXiv:1105.2508 Google Scholar
[9] von Neumann, J. (1951) Various techniques used in connection with random digits. In Monte Carlo Methods, Vol. 12 of Applied Mathematics Series, National Bureau of Standards.Google Scholar