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

Download Preprint

Josef.Leydold@statistik.wu-wien.ac.at