How to avoid logarithms in comparisons with uniform random variables

DOI10.1007/BF02238740MaRDI QIDQ1103317zbMATH OpenFDO

Authors Joachim H. Ahrens

Publication date 1989

Published in Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02238740

zbMATH Keywords

acceptance-rejectionlogarithmrandom variables

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

Review text

In many algorithms for sampling from non-uniform distributions the logarithm of a uniform deviate must be compared with some test quantity. It is shown that all these comparisons can be done efficiently without calling a logarithm subprogram: two procedures for this task are presented and compared. The methods were applied to routines for the generation of normal, Poisson and binomial deviates resulting in considerably improved sampling speed.

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Cites work

• Computer Generation of Random Variables Using the Ratio of Uniform Deviates
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 3750146 (Why is no real title available?)

Cited in

(1)

• An alias method for sampling from the normal distribution

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