A multidimensional version of the ziggurat algorithm

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Abstract

It is shown that the widely applied ziggurat algorithm for generating random values from monotone decreasing distributions and symmetric unimodal distributions can be extended to unimodal multidimensional distributions. A multidimensional version of the ziggurat that was implemented in very fast random number generators is presented.

Original languageEnglish
Title of host publicationInternational Conference of Numerical Analysis and Applied Mathematics 2015, ICNAAM 2015
EditorsTheodore E. Simos, Theodore E. Simos, Charalambos Tsitouras, Theodore E. Simos
ISBN (Electronic)9780735413924
DOIs
StatePublished - 8 Jun 2016
EventInternational Conference of Numerical Analysis and Applied Mathematics 2015, ICNAAM 2015 - Rhodes, Greece
Duration: 23 Sep 201529 Sep 2015

Publication series

NameAIP Conference Proceedings
Volume1738
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

ConferenceInternational Conference of Numerical Analysis and Applied Mathematics 2015, ICNAAM 2015
Country/TerritoryGreece
CityRhodes
Period23/09/1529/09/15

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