A note on generating random variables with log-concave densities
The black-box style rejection algorithm is a tool for generation of random variables. In this small paper a black-box style rejection algorithm that is valid for generating random variables with any log-concave density with known mode is considered. It is shown that when the density is only known up to a constant factor, this method is no longer applicable.NEWLINENEWLINEIn the Introduction of the paper, a small presentation of preliminary results about the black-box algorithm for construction of random variables, is realized.NEWLINENEWLINEIn Section 2 a nonincreasing nonnegative log-concave function on \([0, \infty)\) is considered. For given reals \(0 \leq a < b < \infty\) the equation \(g(x)\) of the line through the points \((a, \log f(a))\) and \((b, \log f(b))\) is shown. Two integrals from the function \(\text{exp}(g(x))\) are calculated.NEWLINENEWLINEIn Section 3 the log-concave density on the positive half-line is considered. To construct the mathematical base of the rejection algorithm, it is assumed that the mode \(m\) is equals to zero. An estimation of the density function of the rejection algorithm is shown. The construction of a random variable which is based on the rejection algorithm is practically realized. This permits to give the details of the rejection algorithm. It is proved that the expected number of the iterations in the rejection algorithm is bounded by 5, uniformly over all log-concave densities on \({\mathbb R}^{+}\) with mode \(m=0.\)NEWLINENEWLINEIn Section 4 the binary search for the parameter \(a\) of the rejection algorithm is organized in a such a manner that the one-time set-up cost of this algorithm to be small. The order \({\mathcal O}(1) + | \log_{2}R|\) where \(R\) is the multiplicative costant of the density function of the number of steps of the rejection algorithm is shown.NEWLINENEWLINEIn Section 5 the log-concave densities in general are discussed. An estimation in explicit form of the density function is given. An algorithm which is based on this kind of density function is described. The idea of a generalization to the discrete case is discussed.
- A simple algorithm for generating random variates with a log-concave density
- Automatic sampling with the ratio-of-uniforms method
- A rejection technique for sampling from log-concave multivariate distributions
- A universal generator for discrete log-concave distributions
- Random variate generation for multivariate unimodal densities
- 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?)
- 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
- Inequalities and simulation methods for univariate log-concave densities
- Stick-breaking representation and computation for normalized generalized gamma processes
- A note on a universal random variate generator for integer-valued random variables
This page was built for publication: A note on generating random variables with log-concave densities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q433605)
