Boris S. Dobronets, Artem M. Krantsevich, Nikolay M. Krantsevich, “Software implementation of numerical operations on random variables”, J. Sib. Fed. Univ. Math. Phys., 2013, Volume 6, Issue 2,Pages <nobr>168

This article is cited in 4 papers

Software implementation of numerical operations on random variables

Boris S. Dobronets^a, Artem M. Krantsevich^b, Nikolay M. Krantsevich^b

^a Institute of Space and Information Technology, Siberian Federal University, Krasnoyarsk, Russia
^b Institute of Mathematics and Computer Science, Siberian Federal University, Krasnoyarsk, Russia

Abstract: We consider a software implementation of numerical operations on different types of random variables and introduce algorithms for arithmetic operations on random variables represented by their probability densities. We also estimate the accuracy of these algorithms and compare the accuracy of histogram arithmetic and the Monte Carlo methods.

Keywords: numerical operations on random variables, histogram arithmetic, second order histogram, Monte Carlo method, interval mathematics.

UDC: 519.24

Received: 23.11.2012
Received in revised form: 26.12.2012
Accepted: 26.01.2013

Language: English