ARVAG - Automatic nonuniform Random VAriate Generation

AUTOMATIC NONUNIFORM RANDOM VARIATE GENERATION

ARVAG (AUTOMATIC NONUNIFORM RANDOM VARIATE GENERATION) is a mathematical research project at the Institute for Statistics of the Vienna University of Economics and Business Administration.

Purpose of this project is the development of theory and algorithms for universal methods of nonuniform random variate generation. Such algorithms have two advantages compared to generators that are designed and taylored for some particular distribution:

• Automatic methods work for a large class of distributions.
• Their properties are investigated and do not depend on the distribution; in particular
  • (fast) marginal generation times
  • quality of the generated random number
  • possibility of truncated distributions
  • applicable for variance reduction techniques

This website provides references where to find the theory of such algorithms (see our monograph). An important part of the project is the development of portable software which is easy to use.

About Our Project

Our Team

Our Monograph

Publications and Literature

Related Links

Software

Automatic Code Generator (ANURAN)

This project is supported by the Fonds zur Förderung der wissenschaftlichen Forschung / Austrian Science Fund (FWF) (projects 12805-N12 and 16767-N12) and by the Austrian Academy of Science, APART-scholarship.