2001-06.ley-etal
#
An Automatic Code Generator for Nonuniform Random Variate Generation

### Abstract

There exists a vast literature on nonuniform random variate
generators. Most of these generators are especially designed
for a particular distribution. However in pratice only a few of
these are available to practioners. Moreover for problems as (e.g.)
sampling from the truncated normal distribution or sampling from
fairly uncommon distributions there are often no algorithms available.
In the last decade so called universal methods
have been developed for these cases. The resulting algorithms are
fast and have properties that make them attractive even for standard
distributions.
In this contribution we describe the concept of *Automatic
random variate generation* where these
methods are used to produce a single piece of code in a high level
programming language. Using a web-based front-end to such a program
this is an easy-to-use source for researchers and programmers for
high quality generators for a large class of distributions.
Using our UNURAN library we have implemented such a system, which is
accessable at
`http://statistik.wu-wien.ac.at/anuran`.

**Mathematics Subject Classification:**
65C10 (Random Number Generation)

**CR Categories and Subject Descriptors:**
G.3 [Probability and Statistics]: Random number generation

**General Terms:**
Algorithms

**Key Words:**
nonuniform random variate generation,
universal algorithm,
automatic code generator,
transformed density rejection,
continuous distribution

Download Preprint

Josef.Leydold@statistik.wu-wien.ac.at