Quotation Hörmann, Wolfgang, Leydold, Josef. 2006. Black-box algorithms for sampling from continuous distributions. In Proceedings of the 2006 Winter Simulation Conference, Hrsg. L. F. Perrone, F. P. Wieland, J. Liu, B.G. Lawson, D.M. Nicol and R.M. Fujimoto, 129-136. Monterey, CA, USA:


RIS


BibTeX

Abstract

For generating non-uniform random variates, black-box algorithms are powerful tools that allow drawing samples from large classes of distri- butions. We give an overview of the design principles of such methods and show that they have advantages compared to specialized algorithms even for standard distributions, e.g., the marginal generation times are fast and depend mainly on the chosen method and not on the distribution. Moreover these methods are suitable for specialized tasks like sampling from truncated distributions and variance reduction techniques. We also present a library called UNU.RAN that provides an interface to a portable implementation of such methods.

Tags

Press 'enter' for creating the tag

Publication's profile

Status of publication Published
Affiliation WU
Type of publication Contribution to conference proceedings
Language English
Title Black-box algorithms for sampling from continuous distributions
Title of whole publication Proceedings of the 2006 Winter Simulation Conference
Editor L. F. Perrone, F. P. Wieland, J. Liu, B.G. Lawson, D.M. Nicol and R.M. Fujimoto
Page from 129
Page to 136
Location Monterey, CA, USA
Year 2006
URL http://www2.computer.org/plugins/dl/pdf/proceedings/wsc/2006/0500/00/04117598.pdf?template=1&loginState=2&userData=Library%2Bof%2BVienna%2BUniversity%2Bof%2BEconomics%2BBusiness%2BAdministration%253ALibrary%2Bof%2BVienna%2BUniversity%2Bof%2BEconomics%2BBusiness%2BAdministration%253A137.208.56.135

Associations

People
Hörmann, Wolfgang (Former researcher)
Leydold, Josef (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
Research Institute for Computational Methods FI (Details)
Google Scholar: Search