prob.part9.19_20 - 1.1. SIMULATION OF DISCRETE...

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Unformatted text preview: 1.1. SIMULATION OF DISCRETE PROBABILITIES 11 collision and so on. 5 John von Neumann and Stanislas Ulam suggested that the problem be solved by modeling the experiment by chance devices on a computer. Their work being secret, it was necessary to give it a code name. Von Neumann chose the name “Monte Carlo.” Since that time, this method of simulation has been called the Monte Carlo Method. William Feller indicated the possibilities of using computer simulations to illus- trate basic concepts in probability in his book An Introduction to Probability Theory and Its Applications. In discussing the problem about the number of times in the lead in the game of “heads or tails” Feller writes: The results concerning fluctuations in coin tossing show that widely held beliefs about the law of large numbers are fallacious. These results are so amazing and so at variance with common intuition that even sophisticated colleagues doubted that coins actually misbehave as theory predicts. The record of a simulated experiment is therefore included. 6 Feller provides a plot showing the result of 10,000 plays of heads or tails similar to that in Figure 1.5. The martingale betting system described in Exercise 10 has a long and interest- ing history. Russell Barnhart pointed out to the authors that its use can be traced back at least to 1754, when Casanova, writing in his memoirs, History of My Life, writes She [Casanova’s mistress] made me promise to go to the casino [the...
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prob.part9.19_20 - 1.1. SIMULATION OF DISCRETE...

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