Generation of random variates using asymptotic expansions

DOI10.1007/BF02684416MaRDI QIDQ1377271zbMATH OpenFDO

Authors J. Ning

Publication date 23 July 1998

Published in Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02684416

zbMATH Keywords

asymptotic expansionsinversion methodnumerical examplerandom number generation

Mathematics Subject Classification ID

Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Random number generation in numerical analysis (65C10)

Review text

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).

Recommendations

• Random variate generation by numerical inversion when only the density is known
• The Series Method for Random Variate Generation and Its Application to the Kolmogorov-Smirnov Distribution
• An algorithm for the generation of random numbers with density C exp(- \(\lambda\) \(| x| ^{\nu})\)
• scientific article; zbMATH DE number 24085

Cited in

(1)

• Random variate generation for Laguerre-type exponentially tilted \(\alpha\)-stable distributions

This page was built for publication: Generation of random variates using asymptotic expansions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1377271)