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Automatic Sampling with the Ratio-of-uniforms Method

Leydold, Josef (1999) Automatic Sampling with the Ratio-of-uniforms Method. Preprint Series / Department of Applied Statistics and Data Processing, 26. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

Applying the ratio-of-uniforms method for generating random variates results in very efficient, fast and easy to implement algorithms. However parameters for every particular type of density must be precalculated analytically. In this paper we show, that the ratio-of-uniforms method is also useful for the design of a black-box algorithm suitable for a large class of distributions, including all with log-concave densities. Using polygonal envelopes and squeezes results in an algorithm that is extremely fast. In opposition to any other ratio-of-uniforms algorithm the expected number of uniform random numbers is less than two. Furthermore we show that this method is in some sense equivalent to transformed density rejection. (author's abstract)

Item Type: Paper
Additional Information: published in: ACM Transactions on Mathematical Software 26(1), pp. 78-98, 1998 http://doi.acm.org/10.1145/347837.347863
Keywords: random number generation / non-uniform / rejection method / ratio of uniforms / log-concave / T-concave / adaptive method / universal method
Classification Codes: MSC 65C10, MSC 65U05, MSC 11K45, CCS G.3
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 13:19
Last Modified: 14 May 2015 10:49
Related URLs:
URI: http://epub.wu.ac.at/id/eprint/84

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