A simple universal generator for continuous and discrete univariate T-concave distributions.

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. The algorithms c...

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Bibliographic Details

Published in:	ACM transactions on mathematical software. 27, 1 (2001).
Main Author:	Leydold, Josef
Format:	Article
Language:	English
Subjects:	T-concave distributions. Continuous distributions. Discrete distribution. Log-concave distributions. Nonuniform random variates. Ratio-of-uniforms method. Transformed density rejection. Universal method.