Asymptotically Optimal Design Points for Rejection Algorithms

Gerhard Derflinger, Wolfgang Hörmann

Publikation: Working/Discussion PaperWU Working Paper

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Very fast automatic rejection algorithms were developed recently which allow to generate random variates from large classes of unimodal distributions. They require the choice of several design points which decompose the domain of the distribution into small sub-intervals. The optimal choice of these points is an important but unsolved problem. So we present an approach that allows to characterize optimal design points in the asymptotic case (when their number tends to infinity) under mild regularity conditions. We describe a short algorithm to calculate these asymptotically optimal points in practice. Numerical experiments indicate that they are very close to optimal even when only six or seven design points are calculated. (author's abstract)
HerausgeberDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
PublikationsstatusVeröffentlicht - 2005


ReihePreprint Series / Department of Applied Statistics and Data Processing

WU Working Paper Reihe

  • Preprint Series / Department of Applied Statistics and Data Processing