An automatic code generator for nonuniform random variate generation

Josef Leydold, Gerhard Derflinger, Günter Tirler and Wolfgang Hörmann

Mathematics and Computers in Simulation (MATCOM), 2003, vol. 62, issue 3, 405-412

Abstract: There exists a vast literature on nonuniform random variate generators. Most of these generators are especially designed for a particular distribution. However, in pratice only a few of these are available to practioners. Moreover, for problems as (e.g.) sampling from the truncated normal distribution or sampling from fairly uncommon distributions there are often no algorithms available. In the last decade so called universal methods have been developed for these cases. The resulting algorithms are fast and have properties that make them attractive even for standard distributions.

Keywords: Nonuniform random variate generation; Universal algorithm; Automatic code generator; Transformed density rejection; Continuous distribution (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:62:y:2003:i:3:p:405-412

DOI: 10.1016/S0378-4754(02)00244-6

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