Short universal generators via generalized ratio-of-uniforms method

Authors:
Josef Leydold
Affiliations:
University of Economics and Business Administration, Department for Applied Statistics and Data Processing, Augasse 2-6, A-1090 Vienna, Austria
Venue:
Mathematics of Computation
Year:
2003

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Abstract

We use inequalities to design short universal algorithms that can be used to generate random variates from large classes of univariate continuous or discrete distributions (including all log-concave distributions). The expected time is uniformly bounded over all these distributions for a particular generator. The algorithms can be implemented in a few lines of high level language code.