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Titolo:
Automatic sampling with the ratio-of-uniforms method
Autore:
Leydold, J;
Indirizzi:
Univ Econ & Business Adm, Dept Appl Stat & Data Proc, A-1090 Vienna, Austria Univ Econ & Business Adm Vienna Austria A-1090 c, A-1090 Vienna, Austria
Titolo Testata:
ACM TRANSACTIONS ON MATHEMATICAL SOFTWARE
fascicolo: 1, volume: 26, anno: 2000,
pagine: 78 - 98
SICI:
0098-3500(200003)26:1<78:ASWTRM>2.0.ZU;2-D
Fonte:
ISI
Lingua:
ENG
Soggetto:
RANDOM NUMBER GENERATORS; DISTRIBUTIONS; TRANSFORMATIONS; ALGORITHM; DENSITY;
Keywords:
algorithms; adaptive method; log-concave; nonuniform; random number generation; ratio of uniforms; rejection method; T-concave; universal method;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Engineering, Computing & Technology
Citazioni:
38
Recensione:
Indirizzi per estratti:
Indirizzo: Leydold, J Univ Econ & Business Adm, Dept Appl Stat & Data Proc, Augasse 2-6, A-1090 Vienna, Austria Univ Econ & Business Adm Augasse 2-6 Vienna Austria A-1090 ria
Citazione:
J. Leydold, "Automatic sampling with the ratio-of-uniforms method", ACM T MATH, 26(1), 2000, pp. 78-98

Abstract

Applying the ratio-of-uniforms method for generating random variates results in very efficient, fast, and easy-to-implement algorithms. However parameters for every particular type of density must be precalculated analytically. In this article we show, that the ratio-of-uniforms method is also useful for the design of a black-box algorithm suitable for a large class of distributions, including all with log-concave densities. Using polygonal envelopes and squeezes results in an algorithm that is extremely fast. In opposition to any other ratio-of-uniforms algorithm the expected number of uniform random numbers is less than two. Furthermore, we show that this method is in some sense equivalent to transformed density rejection.

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Documento generato il 10/07/20 alle ore 11:40:36