Acceptance tail method for generating unimodal random variables

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Abstract

A universal method for generating continuous random variables with unbounded range and infinite-valued discrete random variables is presented. It is shown how the method can be implemented for generating univariate unimodal continuous random variables. Efficiency of the presented method for generating gamma random variables in terms of generation time is compared with the efficiency of all widely utilized algorithms developed to date, and the superior efficiency of the presented method is proved.

Original languageEnglish
Title of host publicationNumerical Computations
Subtitle of host publicationTheory and Algorithms, NUMTA 2016: Proceedings of the 2nd International Conference "Numerical Computations: Theory and Algorithms"
EditorsYaroslav D. Sergeyev, Marat S. Mukhametzhanov, Francesco Dell'Accio, Marat S. Mukhametzhanov, Dmitri E. Kvasov, Yaroslav D. Sergeyev, Dmitri E. Kvasov
ISBN (Electronic)9780735414389
DOIs
StatePublished - 20 Oct 2016
Event2nd International Conference on Numerical Computations: Theory and Algorithms, NUMTA 2016 - Pizzo Calabro, Italy
Duration: 19 Jun 201625 Jun 2016

Publication series

NameAIP Conference Proceedings
Volume1776
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference2nd International Conference on Numerical Computations: Theory and Algorithms, NUMTA 2016
Country/TerritoryItaly
CityPizzo Calabro
Period19/06/1625/06/16

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