An automatic code generator for nonuniform random variate generation

DOI10.1016/S0378-4754(02)00244-6MaRDI QIDQ1873045zbMATH OpenFDO

Authors Josef Leydold, Gerhard Derflinger, Günter Tirler, Wolfgang Hörmann

Publication date 19 May 2003

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

Full work available at URL https://doi.org/10.1016/S0378-4754(02)00244-6

zbMATH Keywords

automatic code generatorcontinuous distributionnonuniform random variate generationtransformed density rejectionuniversal algorithm

Mathematics Subject Classification ID

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

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Cites work

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

(7)

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• RVGEN: a tool for generation of random variates
• Short universal generators via generalized ratio-of-uniforms method
• Extremely efficient acceptance-rejection method for simulating uncorrelated Nakagami fading channels
• Adaptive rejection sampling with fixed number of nodes
• Class library ranlip for multivariate nonuniform random variate generation

Describes a project that uses

Uses Software

• ANURAN
• UNU.RAN
• Runuran

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