Making black boxes out of black boxes - the Bernoulli Factory problem and its applications

When	2.00pm on Friday 26th February 2010
Where	B617, Leverhulme Library, Columbia House
Presentations
Speaker	Krzysztof Latuszynski
From	University of Warwick
Abstract	Assume that a black box generating p-coins is available and 0 < p < 1 is unknown. Is it possible to use these p-coins and generate a min(1,2p)-coin? Given a known function f, is it possible to obtain an f(p)-coin? The problem, in a simplified form, originates from John von Neumann and naturally arises in exact algorithms for diffusions and in MCMC inference for diffusion parametr. I will present a reverse time martingale approach that offers a constructive solution. This is joint work with Ioannis Kosmidis, Omiros Papaspiliopoulos and Gareth O. Roberts.

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Postgraduate Administrator Ext. 6879
Department of Statistics, Columbia House

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