Technical Note—Generation of Variates from Distribution Tails

Bruce W. Schmeiser
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Bruce W. Schmeiser: Purdue University, Lafayette, Indiana

Operations Research, 1980, vol. 28, issue 4, 1012-1017

Abstract: The well known acceptance/rejection algorithm for generating random values on a computer is specialized for distribution tails. Using an exponential majorizing function and a linear minorizing function, the tail algorithm becomes particularly efficient. Specific algorithms are given for the normal, gamma, Weibull and beta distributions. While the algorithms can be used alone, it is anticipated that their major value will be to serve as components of algorithms for complete distributions.

Date: 1980
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