Efficient and Accurate Parallel Inversion of the Gamma Distribution

DOI10.1137/14095875XzbMath1315.65005MaRDI QIDQ5251926

Thomas Luu

Publication date: 21 May 2015

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

copulaalgorithmMonte Carlogamma distributionrandom number generationquantile functionCUDAGPUparallel inversioninverse CDFquantile mechanicsquantus

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Parallel numerical computation (65Y05) Random number generation in numerical analysis (65C10)

Related Items

Unnamed Item, Estimation of the parameters of the gamma geometric process, SEQUENTIAL LAGRANGE MULTIPLIER CONDITIONS FOR MINIMAX PROGRAMMING PROBLEMS, Solving Random Ordinary Differential Equations on GPU Clusters using Multiple Levels of Parallelism

Uses Software

• NAG
• R
• CUDA
• AS 91
• MersenneTwister
• sn
• Boost

Cites Work

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