An automatic code generator for nonuniform random variate generation

DOI10.1016/S0378-4754(02)00244-6zbMATH Open1018.65010MaRDI QIDQ1873045FDOQ1873045

Josef Leydold, Gerhard Derflinger, Wolfgang Hörmann, Günter Tirler

Publication date: 19 May 2003

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

continuous distributionnonuniform random variate generationtransformed density rejectionuniversal algorithmautomatic code generator

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Packaged methods for numerical algorithms (65Y15) Software, source code, etc. for problems pertaining to probability theory (60-04)

Cites Work

• A Note on the Generation of Random Normal Deviates
• Adaptive Rejection Sampling for Gibbs Sampling
• A sweep-plane algorithm for generating random tuples in simple polytopes
• A rejection technique for sampling from T -concave distributions
• Automatic sampling with the ratio-of-uniforms method
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Cited In (2)

• Extremely efficient acceptance-rejection method for simulating uncorrelated Nakagami fading channels
• Adaptive rejection sampling with fixed number of nodes

Uses Software

• ANURAN
• UNU.RAN
• Runuran

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