An Automatic Code Generator for Nonuniform Random Variate Generation

Josef Leydold, Gerhard Derflinger, Günter Tirler, Wolfgang Hörmann

Publication: Working/Discussion PaperWU Working Paper

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 <a href="http://statistik.wu-wien.ac.at/anuran" target="_blank">http://statistik.wu-wien.ac.at/anuran</a>.
Original languageEnglish
Place of PublicationVienna
PublisherDepartment of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business
Publication statusPublished - 2001

Publication series

NamePreprint Series / Department of Applied Statistics and Data Processing
No.42

WU Working Paper Series

  • Preprint Series / Department of Applied Statistics and Data Processing

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