Universal nonuniform random vector generator based on acceptance-rejection

Beliakov, Gleb 2005, Universal nonuniform random vector generator based on acceptance-rejection, ACM transactions on modeling and computer simulation, vol. 15, no. 3, pp. 205-232.

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Title Universal nonuniform random vector generator based on acceptance-rejection
Author(s) Beliakov, GlebORCID iD for Beliakov, Gleb orcid.org/0000-0002-9841-5292
Journal name ACM transactions on modeling and computer simulation
Volume number 15
Issue number 3
Start page 205
End page 232
Publisher The Association
Place of publication New York, N.Y.
Publication date 2005-07
ISSN 1049-3301
Keyword(s) Acceptance/rejection
Lipschitz approximation
nonuniform random variates
random number generator
Summary The acceptance/rejection approach is widely used in universal nonuniform random number generators. Its key part is an accurate approximation of a given probability density from above by a hat function. This article uses a piecewise constant hat function, whose values are overestimates of the density on the elements of the partition of the domain. It uses a sawtooth overestimate of Lipschitz continuous densities, and then examines all local maximizers of such an overestimate. The method is applicable to multivariate multimodal distributions. It exhibits relatively short preprocessing time and fast generation of random variates from a very large class of distributions
Language eng
Field of Research 080108 Neural, Evolutionary and Fuzzy Computation
Socio Economic Objective 970108 Expanding Knowledge in the Information and Computing Sciences
HERDC Research category C1 Refereed article in a scholarly journal
Copyright notice ©2005, ACM
Persistent URL http://hdl.handle.net/10536/DRO/DU:30003246

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