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Non-Uniform Random Variate Generation (1986)
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by
Luc Devroye
| Citations: | 1000 - 26 self |
BibTeX
@MISC{Devroye86non-uniformrandom,
author = {Luc Devroye},
title = {Non-Uniform Random Variate Generation},
year = {1986}
}
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Abstract
This is a survey of the main methods in non-uniform random variate generation, and highlights recent research on the subject. Classical paradigms such as inversion, rejection, guide tables, and transformations are reviewed. We provide information on the expected time complexity of various algorithms, before addressing modern topics such as indirectly specified distributions, random processes, and Markov chain methods.
