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Asymptotically Optimal Design Points for Rejection Algorithms

Derflinger, Gerhard and Hörmann, Wolfgang (2005) Asymptotically Optimal Design Points for Rejection Algorithms. Preprint Series / Department of Applied Statistics and Data Processing, 54. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Very fast automatic rejection algorithms were developed recently which allow to generate random variates from large classes of unimodal distributions. They require the choice of several design points which decompose the domain of the distribution into small sub-intervals. The optimal choice of these points is an important but unsolved problem. So we present an approach that allows to characterize optimal design points in the asymptotic case (when their number tends to infinity) under mild regularity conditions. We describe a short algorithm to calculate these asymptotically optimal points in practice. Numerical experiments indicate that they are very close to optimal even when only six or seven design points are calculated. (author's abstract)

Item Type: Paper
Additional Information: published in: Communications in Statistics: Simulation and Computation 34(4), 2005
Keywords: nonuniform random variate generation / universal algorithm / transformed density rejection / optimal design points
Classification Codes: MSC 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 15:48
Last Modified: 08 May 2012 13:12
URI: http://epub.wu.ac.at/id/eprint/234


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