Publications

Wolfgang Hörmann


Books   |   Journals   |   Conference Proceedings   |   Preprints   |   Theses


Books:

  1. W. Hörmann, J. Leydold, and G. Derflinger
    Automatic Nonuniform Random Variate Generation
    Springer-Verlag, Berlin Heidelberg (2004)
Journals:
  1. W. Hörmann, J. Leydold, and G. Derflinger
    Inverse Transformed Density Rejection for Unbounded Monotone Densities
    ACM Trans. Model. Comput. Simul. 17(4), Article 18, (16 pages), 2007
    DOI: 10.1145/1276927.1276931

  2. W. Hörmann
    A simple Generator for the t-Distribution
    Computing 81, pp. 317-322, 2007

  3. G. Derflinger and W. Hörmann
    Asymptotically Optimal Design Points for Rejection Algorithms
    Communications in Statistics: Simulation and Computation 34(4), pp. 879-893, 2005

  4. J. Leydold and W. Hörmann
    Smoothed Transformed Density Rejection
    Monte Carlo Methods and Applications 10(3-4), pp. 393--402 (2004)

  5. G. Tirler, P. Dalgaard, W. Hörmann, and J. Leydold
    An Error in the Kinderman-Ramage Method and How to Fix It
    Computational Statistics & Data Analysis 47(3), pp. 433-440 (2004)

  6. J. Leydold, G. Derflinger, G. Tirler, and W. Hörmann
    An Automatic Code Generator for Nonuniform Random Variate Generation
    Mathematics and Computers in Simulation 62(3-6), pp. 405-412 (2003)

  7. W. Hörmann and J. Leydold
    Continuous Random Variate Generation by Fast Numerical Inversion
    ACM Trans. Model. Comput. Simul. 13(4), pp. 347-362 (2003)

  8. W. Hörmann
    A Note on the Performance of the "Ahrens Algorithm"
    Computing 69(1), pp. 83-89 (2002)

  9. W. Hörmann and G. Derflinger
    Fast Generation of Order Statistics
    ACM Transactions on Modeling and Computer Simulation 12(2), pp. 83-93 (2002)

  10. W. Hörmann
    Algorithm 802: An Automatic Generator for Bivariate Log-Concave Distributions
    ACM Transactions on Mathematical Software 26(1), 201-219 (2000)

  11. J. Leydold and W. Hörmann
    A Sweep-Plane Algorithm for Generating random tuples in simple polytopes
    Mathematics of Computation 67, 1617-1635 (1998)

  12. W. Hörmann and G. Derflinger
    Rejection-inversion to generate variates from monotone discrete distributions
    ACM Transactions on Modelling and Computer Simulation, 6(3), 169-184 (1996)

  13. W. Hörmann
    A rejection technique for sampling from T-concave distributions
    ACM Transactions on Mathematical Software 21(2), 182-193 (1995)

  14. W. Hörmann
    A universal generator for discrete log-concave distributions
    Computing 52, 89-96 (1994)

  15. W. Hörmann
    A note on the quality of random variates generated by the ratio of uniforms method
    ACM Transactions on Modelling and Computer Simulation 4(1), 96-106 (1994)

  16. W. Hörmann and G. Derflinger
    The transformed rejection method for generating random variables, an alternative to the ratio of uniforms method
    Communications in Statistics: Simulation and Computation 23(3), 847-860 (1994)

  17. W. Hörmann and G. Derflinger
    A portable uniform random number generator well suited for the rejection method
    ACM Transactions on Mathematical Software 19(4), 489-495 (1993)

  18. W. Hörmann
    The generation of binomial random variates
    Journal of Statistical Computation and Simulation 46, 101-110 (1993)

  19. W. Hörmann
    The transformed rejection method for generating Poisson random variables
    Insurance: Mathematics and Economics 12, 39-45 (1993)

  20. W. Hörmann and G. Derflinger
    The ACR method for generating normal random variables
    OR Spektrum 12, 181-185 (1990)

Conference Proceedings:
  1. W. Hörmann and J. Leydold
    Black-Box Algorithms for Sampling from Continuous Distributions
    in: L.F. Perrone, F. P. Wieland, J. Liu, B. G. Lawson, D. M. Nicol, and R. M. Fujimoto (eds.), Proceedings of the 2006 Winter Simulation Conference, pp. 129--136 (2006)

  2. W. Hörmann and J. Leydold
    Monte Carlo Integration Using Importance Sampling and Gibbs Sampling
    in: H. Dag and Y. Deng (eds.), Proceedings of the International Conference on Computational Science and Engineering, Istanbul, pp. 92--97 (2005)

  3. J. Leydold, E. Janka, and W. Hörmann
    Variants of Transformed Density Rejection and Correlation Induction
    in: K.-T. Fang,F.J. Hickernell, and H. Niederreiter (eds.), Monte Carlo and Quasi-Monte Carlo Methods 2000, pp. 345-356 (2002)

  4. W. Hörmann and J. Leydold
    Automatic Random Variate Generation for Simulation Input
    in: J. A. Joines, R. Barton, P. Fishwick, K. Kang (eds.), Proceedings of the 2000 Winter Simulation Conference, pp. 675-682 (2000)

  5. W. Hörmann and O. Bayar
    Modelling Probability Distributions from Data and its Influence on Simulation
    In: I. Troch and F. Breitenecker (eds.), Proceedings IMACS Symposium on Mathematical Modeling, Argesim Report No. 15, pp. 429-435 (2000)

  6. J. Leydold and W. Hörmann
    Black Box Algorithms for Generating Non-Uniform Continuous Random Variates
    in: W. Jansen and J. G. Bethlehem (eds.), Compstat 2000, Short Communications and Posters, pp. 53-54 (2000)

  7. J. Leydold and W. Hörmann
    Universal Algorithms as an Alternative for Generating Non-Uniform Continuous Random Variates
    in: G.I. Schuëler, P.D. Spanos (eds.), Monte Carlo Simulation, pp. 177-183 (2001)

  8. J. Leydold, H. Leeb and W. Hörmann
    Higher-Dimensional Properties of Non-Uniform Pseudo-Random Variates
    in: H. Niederreiter, J. Spanier (eds.), Monte Carlo and Quasi-Monte Carlo Methods 1998, pp. 341-355 (2000)

  9. J. Leydold and W. Hörmann
    The automatic generation of one- and multi-dimensional distributions with transformed density rejection
    in: A. Sydow, Proc. 15th IMACS world congress, Vol. 2, pp. 757-760 (1997)

  10. W. Hörmann and G. Derflinger
    An automatic generator for a large class of unimodal discrete distributions
    in: A.R. Kaylan and A. Lehmann, ESM 97, pp. 139-144, SCS (1997)

  11. M. A. Hauser, W. Hörmann, R. M. Kunst and J. Lenneis
    A note on generation, estimation and prediction of stationary processes
    in: R. Dutter and W. Grossmann, Compstat, Proceedings in Computational Statistics, pp. 323-328, Physica-Verlag, Heidelberg (1994)

  12. W. Hörmann and G. Derflinger
    Universal generators for correlation induction
    in: R. Dutter and W. Grossmann, Compstat, Proceedings in Computational Statistics, pp. 52-57, Physica-Verlag, Heidelberg (1994)

  13. W. Hörmann
    The quality of non-uniform random numbers
    in: H. Dyckhoff et al., Operations Research Proceedings 1993, pp. 329-335 Springer-Verlag, Berlin (1994)

  14. W. Hörmann
    New generators of normal and Poisson deviates based on the transformed rejection method
    in: K.-W. Hansmann et al., Operations Research Proceedings 1992, pp. 334-341, Springer-Verlag, Berlin (1993)

  15. L. Afflerbach and W. Hörmann
    Nonuniform random numbers: a sensitivity analysis for transformation methods
    in: U. Dieter and G.Ch. Pflug, International Workshop on Computationally Intensive Methods in Simulation and Optimization, Lecture Notes in Econom. Math. Systems 374, Springer-Verlag (1992)

Preprints and Technical Reports:
  1. W. Hörmann and J. Leydold
    Importance Sampling to Accelerate the Convergence of Quasi-Monte Carlo
    Research Report Series / Department of Statistics and Mathematics, Nr. 49, February 2007

  2. W. Hörmann and J. Leydold
    A Note on the Folding Coupler
    Research Report Series / Department of Statistics and Mathematics, Nr. 36, May 2006

  3. W. Hörmann and J. Leydold
    A Note on Perfect Slice Sampling
    Research Report Series / Department of Statistics and Mathematics, Nr. 29, March 2006

  4. W. Hörmann and J. Leydold
    Quasi Importance Sampling
    Technical Report, Institut für Statistik, WU Wien (2005)

  5. W. Hörmann and J. Leydold
    Improved Perfect Slice Sampling
    Technical Report, Institut für Statistik, WU Wien (2003)

  6. M. A. Hauser and W. Hörmann
    The generation of stationary Gaussian time series
    Technical Report, Institut für Statistik, Wirtschaftsuniversität Wien (1994)

Theses:
  1. W. Hörmann
    Stochastische Prozesse und Vektorquasimaße
    Master Thesis (in German), University of Vienna, Austria, in German (1987)

  2. W. Hörmann
    Generalized Stochastic Processes and Wigner Distribution
    PhD Thesis, University of Vienna, Austria (1989)


December 2008, Wolfgang Hörmann