A guide to simulation (2nd ed.)
A guide to simulation (2nd ed.)
Noninverse correlation induction: guidelines for algorithm development
Journal of Computational and Applied Mathematics - Random numbers and simulation
A rejection technique for sampling from T-concave distributions
ACM Transactions on Mathematical Software (TOMS)
Numerical computing with IEEE floating point arithmetic
Numerical computing with IEEE floating point arithmetic
An Object-Oriented Random-Number Package with Many Long Streams and Substreams
Operations Research
Continuous random variate generation by fast numerical inversion
ACM Transactions on Modeling and Computer Simulation (TOMACS)
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For generating non-uniform random variates, black-box algorithms are powerful tools that allow drawing samples from large classes of distributions. We give an overview of the design principles of such methods and show that they have advantages compared to specialized algorithms even for standard distributions, e.g., the marginal generation times are fast and depend mainly on the chosen method and not on the distribution. Moreover these methods are suitable for specialized tasks like sampling from truncated distributions and variance reduction techniques. We also present a library called UNU.RAN that provides an interface to a portable implementation of such methods.