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Continuous Random Variate Generation by Fast Numerical Inversion

Hörmann, Wolfgang and Leydold, Josef (2002) Continuous Random Variate Generation by Fast Numerical Inversion. Preprint Series / Department of Applied Statistics and Data Processing, 45. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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The inversion method for generating non-uniform random variates has some advantages compared to other generation methods, since it monotonically transforms uniform random numbers into non-uniform random variates. Hence it is the method of choice in the simulation literature. However, except for some simple cases where the inverse of the cumulative distribution function is a simple function we need numerical methods. Often inversion by ``brute force" is used, applying either very slow iterative methods or linear interpolation of the CDF and huge tables. But then the user has to accept unnecessarily large errors or excessive memory requirements, that slow down the algorithm. In this paper we demonstrate that with Hermite interpolation of the inverse CDF we can obtain very small error bounds close to machine precision. Using our adaptive interval splitting method this accuracy is reached with moderately sized tables that allow for a fast and simple generation procedure. The algorithms described in this paper have been implemented in ANSI C in a library called UNURAN which is available via anonymous ftp. (author's abstract)

Item Type: Paper
Additional Information: published in: ACM Transactions on Modeling and Computer Simulation 13(4), pp. 347-362, 2003
Keywords: random number generation / inversion method / Hermite interpolation / approximation / black-box algorithm / universal method / simulation
Classification Codes: MSC 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 13:56
Last Modified: 11 Sep 2014 22:59
Related URLs:
URI: http://epub.wu.ac.at/id/eprint/664


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