94-04-11.wh-der
Universal Generators for Correlation Induction
Abstract
Compared with algorithms specialized for a single distribution
universal (also called automatic or black-box) algorithms for
continuous distributions were relatively seldom discussed.
But they have
important advantages for the user: One algorithm coded and tested only
once can do the same or even more than a whole library of standard
routines. It is only necessary
to have a program available that can evaluate the density of the
distribution up to a multiplicative factor.
In this paper we show that transformed density rejection is well
suited to construct universal algorithms suitable for
correlation induction which is important for variance reduction
in simulation.
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:
Simulation, non-uniform random number generation,
rejection method, universal generators, correlation induction
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Wolfgang.Hoermann@statistik.wu-wien.ac.at