Grid methods in simulation and random variate generation (Q1069659): Difference between revisions

Points can be generated uniformly in a compact set A of \(R^ d\) by constructing a fine rectangular grid covering A, selecting a grid rectangle, and performing an acceptance test if the rectangle in question is not entirely contained in A. For very fine grids, the acceptance test is needed with very small probability. We look at the storage requirements and expected time performance of this method, and apply it in avoidance problems and in the design of fast generators for random variates with a bounded density on [0,1].