Activity: Talk or presentation › Science to science
Description
Devroye (2012) proposes an acceptance-rejection algorithm for distributions with given log-concave density f. It requires the exact location of the mode and has a uniformly bounded rejection constant but does not require the normalization constant for f. In this talk we show that the same idea also works for the ratio-of-uniforms method. Thus we get an acceptance-rejection algorithm with uniformly bounded rejection constant that works for the larger class of all T_{-1/2}-concave densities, a generalisation of log-concave densities, that includes unimodal densities with subquadratic tails. The derivation of the algorithm is simpler than the proof by Devroye (2012). Moreover, the method can also be extended to densities where the mode is only known approximately.
Period
3 Jul 2017 → 7 Jul 2017
Event title
11th International Conference on Monte Carlo Methods and Applications (MCM 2017)