2000-06.ley
Short Universal Generators Via Generalized Ratio-of-Uniforms Method
Abstract
We use inequalities to design short universal algorithms that can be
used to generate random variates from large classes of univariate
continuous or discrete distributions (including all log-concave
distributions). The expected time is uniformly bounded over all
these distributions for a particular generator. The algorithms can
be implemented in a few lines of high level language code.
CR Categories and Subject Descriptors:
G.3 [Probability and Statistics]: Random number generation
Mathematics Subject Classification:
65C10 (Random Number Generation);
65U05 (Numerical methods in probability and statistics),
11K45 (Pseudo-random numbers, Monte Carlo methods)
General Terms:
Algorithms
Key Words:
non-uniform random variates, universal method,
ratio-of-uniforms method, transformed density rejection,
discrete distributions, continuous distributions,
log-concave distributions, T-concave distributions
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Josef.Leydold@statistik.wu-wien.ac.at