A note on generating random variables with log-concave densities

DOI10.1016/J.SPL.2012.01.022zbMATH Open1255.65016OpenAlexW2086016443MaRDI QIDQ433605FDOQ433605

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

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zbMATH Keywords

simulationmodeexpected time analysisMonte Carlo methodrandom variate generationbinary searchrandom numberslog-concave density functionblack-box style rejection algorithmrejection algorithm

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Adaptive Rejection Sampling for Gibbs Sampling
• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Title not available (Why is that?)
• A simple algorithm for generating random variates with a log-concave density

Cited In (16)

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

Uses Software

• AS 287

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