An economical acceptance-rejection algorithm for uniform random variate generation over constrained simplexes

DOI10.1007/S11222-015-9553-XzbMATH Open1505.62015OpenAlexW772928074MaRDI QIDQ294251FDOQ294251

Authors: Amir Ahmadi-Javid, Asghar Moeini 

Publication date: 10 June 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-015-9553-x

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zbMATH Keywords

convex optimizationdistributions with imprecise probabilitiesmixture experiment designsimulation-based portfolio optimizationstochastic multi-criteria decision analysisuniform random variate generation over simplexes

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Random number generation in numerical analysis (65C10) Convex programming (90C25) Design of statistical experiments (62K99)

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Cited In (4)

• Uniform distributions and random variate generation over generalized \(l_p\) balls and spheres
• Random generation of linearly constrained fuzzy measures and domain coverage performance evaluation
• Conditional distribution inverse method in generating uniform random vectors over a simplex
• A simple method for rejection sampling efficiency improvement on SIMT architectures

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