A quasi-Monte Carlo implementation of the ziggurat method

DOI10.1515/MCMA-2018-0008MaRDI QIDQ1637510zbMATH OpenOpenAlexWikidataFDO

Authors Giray Ökten, Nguyet Nguyen, Lin-Lin Xu

Publication date 8 June 2018

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2018-0008

zbMATH Keywords

gamma distributionlow-discrepancy sequencesnormal distributionquasi-Monte Carloziggurat method

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Monte Carlo methods (65C05)

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Cites work

• A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
• A simple method for generating gamma variables
• Discrepancy bounds for deterministic acceptance-rejection samplers
• Error bounds for quasi-Monte Carlo integration with uniform point sets
• Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 872100 (Why is no real title available?)
• scientific article; zbMATH DE number 3387452 (Why is no real title available?)
• Low-discrepancy point sets for non-uniform measures
• Mersenne twister
• Non-uniform low-discrepancy sequence generation and integration of singular integrands
• Randomized quasi-Monte Carlo methods in pricing securities
• The acceptance-rejection method for low-discrepancy sequences
• Uniform point sets and the collision test
• Uniformly distributed sequences with an additional uniform property

Cited in

(6)

• A goodness-of-fit test for copulas based on the collision test
• A Fast, Easily Implemented Method for Sampling from Decreasing or Symmetric Unimodal Density Functions
• A modified ziggurat algorithm for generating exponentially and normally distributed pseudorandom numbers
• Efficient generation of exponential and normal deviates
• An Efficient Randomized Quasi-Monte Carlo Algorithm for the Pareto Distribution
• An efficient Monte Carlo scheme for Zakai equations

Describes a project that uses

Uses Software

• MersenneTwister
• Ziggurat
• rnorrexp

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