Patchwork rejection algorithms (Q915340): Difference between revisions
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Revision as of 10:53, 12 February 2024
scientific article
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English | Patchwork rejection algorithms |
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Patchwork rejection algorithms (English)
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1990
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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.
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algorithms
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pseudorandom numbers
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patchwork rejection
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random envelope variate
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random target variate
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Lomax distributions
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Rayleigh distributions
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exponential distributions
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