Generation of random variates using asymptotic expansions (Q1377271)
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English | Generation of random variates using asymptotic expansions |
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Generation of random variates using asymptotic expansions (English)
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23 July 1998
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This paper considers the generation of random numbers according to a density \(f(x; \varepsilon)\), which depends on a small parameter \(\varepsilon>0\). The generation is based on the inversion principle but with asymptotic expansions of \(f(x; \varepsilon)\) with respect to the small parameter \(\varepsilon\). After presenting some basic notations concerning asymptotic expansions and measure theory, first-order expansions to generate an \(f\)-distributed pointset are investigated. Theorems on the error estimates for the discrepancy and for the bounded Lipschitz distance of the asymptotic expansions are derived. A numerical example in computational fluid dynamics illustrates the efficiency of the proposed method. (Several typographical errors bothered the reviewer to read the paper).
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random number generation
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inversion method
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asymptotic expansions
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numerical example
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