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A rejection algorithm { called transformed density rejection { that uses a new method for constructing simple hat functions for an unimodal, bounded density f is introduced. It is based on the idea to transform f with a suitable transformation T such that T (f(x)) is concave. f is then called T-concave and tangents of T (f(x)) in the mode and in a point on(More)
The inversion method for generating nonuniform random variates has some advantages compared to other generation methods, since it monotonically transforms uniform random numbers into non-uniform random variates. Hence, it is the method of choice in the simulation literature. However, except for some simple cases where the inverse of the cumulative(More)
A sweep-plane algorithm of Lawrence for convex polytope computation is adapted to generate random tuples on simple polytopes. In our method an affine hyperplane is swept through the given polytope until a random fraction (sampled from a proper univariate distribution) of the volume of the polytope is covered. Then the intersection of the plane with the(More)
Different automatic (also called universal or black-box) methods have been suggested to sample from univariate log-concave distributions. Our new automatic algorithm for bivariate log-concave distributions is based on the method of transformed density rejection. In order to construct a hat function for a rejection algorithm the bivariate density is(More)
The generalized inverse Gaussian distribution has become quite popular in financial engineering. The most popular random variate generator is due to Dagpunar (1989). It is an acceptance-rejection algorithm method based on the Ratio-of-uniforms method. However , it is not uniformly fast as it has a prohibitive large rejection constant when the distribution(More)
We present a numerical inversion method for generating random variates from continuous distributions when only the density function is given. The algorithm is based on polynomial interpolation of the inverse CDF and Gauss-Lobatto integration. The user can select the required precision, which may be close to machine precision for smooth, bounded densities;(More)
For discrete distributions a variant of reject from a continuous hat function is presented. The main advantage of the new method, called <italic>rejection-inversion</italic>, is that no extra uniform random number to decide between acceptance and rejection is required, which means that the expected number of uniform variates required is halved. Using(More)