Simulation from non-standard distributions using envelope methods

Authors:
Michael J. Evans;Tim B. Swartz
Affiliations:
University of Toronto, Toronto, Ont M5S3G3, CANADA;Simon Fraser University, Burnaby, BC V5A1S6, CANADA
Venue:
Proceedings of the 32nd conference on Winter simulation
Year:
2000

Citing 1
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A rejection technique for sampling from T-concave distributions

ACM Transactions on Mathematical Software (TOMS)

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Abstract

This paper considers the development of envelope methods as a tool for simulation. Envelope methods are based on the construction of simple envelopes to functions. The proposed envelopes are general, require little input from the user and are based on the concavity structure of the function or some transformation of the function. The construction of these envelopes facilitates variate generation using the adaptive rejection algorithm.