Continuous random variate generation by fast numerical inversion

DOI10.1145/945511.945517MaRDI QIDQ4564839zbMATH OpenOpenAlexWikidataFDO

Authors Wolfgang Hörmann, Josef Leydold

Publication date 12 June 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://epub.wu.ac.at/664/1/document.pdf

zbMATH Keywords

inversion methodnonuniform random variatesspline approximationuniversal method

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

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• A numerical inversion of the bivariate characteristic function
• A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments
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• Efficient and accurate parallel inversion of the gamma distribution
• A shape-preserving spline interpolation for sampling designs from inverse distributions
• Class library ranlip for multivariate nonuniform random variate generation
• Generating inverse Gaussian random variates by approximation

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