Bernoulli factory

workshop in Columbia [day 3]

September 26, 2011 | 0 Comments

Although this was only a half-day of talks, the third day of the workshop was equally thought-challenging and diverse.  (I managed to miss the ten first minutes by taking a Line 3 train to 125th street, having overlooked the earlier split from Line 1… Crossing south Harlem on a Sunday morning is ... [Read more...]

Further Bernoulli factories

June 15, 2011 | 0 Comments

Yesterday, Andrew Thomas and José Blanchet posted a note on the Bernouilli factory on arXiv. This short paper links with the recent paper of Flegal and Herbei I commented earlier. Considering the special target Thomas and Blanchet develop an elaborate scheme of cascading envelopes that converge to f from above. ... [Read more...]

Forsythe’s algorithm

May 8, 2010 | 0 Comments

In connection with the Bernoulli factory post of last week, Richard Brent arXived a short historical note recalling George Forsythe’s algorithm for simulating variables with density when (the extension to any upper bound is straightforward). The idea is to avoid computing the exponential function by simulating uniforms until since ... [Read more...]

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