Patchwork rejection algorithms (Q915340): Difference between revisions
From MaRDI portal
Set profile property. |
ReferenceBot (talk | contribs) Changed an Item |
||
Property / cites work | |||
Property / cites work: Q3723577 / rank | |||
Normal rank |
Latest revision as of 09:30, 21 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Patchwork rejection algorithms |
scientific article |
Statements
Patchwork rejection algorithms (English)
0 references
1990
0 references
Let U, R be independent uniform random variables with support [0,1], let f(x) be the density function of the required target distribution and let g(x) be the density of an envelope distribution which belongs to a family of continuous distribution functions G(x). Then \(x=G^{-1}(u)\) generates a random envelope variate. The condition for the acceptance of x as a random target variate is given by \(r\cdot c\cdot g(G^{-1}(u))\leq f(G^{-1}(u))\) where \(c:=\sup \{f(G^{-1}(u))/g(G^{-1}(u)):\) \(u\}<\infty\). Some examples are discussed in the case of a normal distribution for f and for the family of Lomax distributions or Rayleigh distributions or exponential distributions.
0 references
algorithms
0 references
pseudorandom numbers
0 references
patchwork rejection
0 references
random envelope variate
0 references
random target variate
0 references
Lomax distributions
0 references
Rayleigh distributions
0 references
exponential distributions
0 references