Algorithms for generating random variables with a rational probability-generating function

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Abstract

Two algorithms for generating random variables with a rational probability-generating function are presented. One of them implements the recently developed general range reduction method, and the other is an extension of the alias method designed for generating discrete finite-valued random variables to the case where the generated random variable is infinite-valued. An example of a random variable which was efficiently generated by random number generators implementing the presented algorithms is given. Possible ways of improving the complexity of the presented algorithms are discussed.

Original languageEnglish
Pages (from-to)2001-2010
Number of pages10
JournalInternational Journal of Computer Mathematics
Volume92
Issue number9
DOIs
StatePublished - 2 Sep 2015

Keywords

  • algorithm
  • alias method
  • probability-generating function
  • random number generation
  • range reduction method

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