Fast inverse transform sampling in one and two dimensions

MaRDI QIDQ6243111zbMATH OpenFDO

Authors Sheehan Olver, Alex Townsend

Publication date 4 July 2013

Has companion code repository https://github.com/peterewills/itsample

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10)

Abstract: We develop a computationally efficient and robust algorithm for generating pseudo-random samples from a broad class of smooth probability distributions in one and two dimensions. The algorithm is based on inverse transform sampling with a polynomial approximation scheme using Chebyshev polynomials, Chebyshev grids, and low rank function approximation. Numerical experiments demonstrate that our algorithm outperforms existing approaches.

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