A note on generating random variables with log-concave densities

DOI10.1016/J.SPL.2012.01.022MaRDI QIDQ433605zbMATH OpenOpenAlexFDO

Authors Luc Devroye

Publication date 5 July 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.01.022

zbMATH Keywords

binary searchblack-box style rejection algorithmexpected time analysislog-concave density functionmodeMonte Carlo methodrandom numbersrandom variate generationrejection algorithmsimulation

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Stochastic particle methods (65C35)

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Cites work

• A simple algorithm for generating random variates with a log-concave density
• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Adaptive Rejection Sampling for Gibbs Sampling
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 2002843 (Why is no real title available?)

Cited in

(20)

• Generation of discrete random variables in scalable frameworks
• Random variate generation for the truncated negative gamma distribution
• Fast sampling from \(\beta \)-ensembles
• A simple algorithm for generating random variates with a log-concave density
• The expected bit complexity of the von Neumann rejection algorithm
• Algorithms for generating random variables with a rational probability-generating function
• Automatic sampling with the ratio-of-uniforms method
• A rejection technique for sampling from log-concave multivariate distributions
• Log-concavity and strong log-concavity: a review
• Remaining useful life prediction: A multiple product partition approach
• Universal methods for generating random variables with a given characteristic function
• A simple universal generator for continuous and discrete univariate T-concave distributions
• A simple generator for discrete log-concave distributions
• On Data Augmentation for Models Involving Reciprocal Gamma Functions
• Optimal random bit complexity in efficient sampling of set partition-like structures
• Nonasymptotic bounds for forward processes in denoising diffusions: Ornstein-Uhlenbeck is hard to beat
• Reliable simulation of extremely-truncated log-concave distributions
• Fast exact simulation of the first-passage event of a subordinator
• Stick-breaking representation and computation for normalized generalized gamma processes
• A note on a universal random variate generator for integer-valued random variables

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Uses Software

• AS 287

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