Black-box algorithms for sampling from continuous distributions
Abstract
For generating non-uniform random variates, black-box algorithms are powerful tools that allow drawing samples from large classes of distributions. 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.
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- Black-box algorithms for sampling from continuous distributions
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Information & Contributors
Information
Published In
December 2006
2429 pages
ISBN:1424405017
- Editors:
- L. Felipe Perrone,
- Barry G. Lawson,
- Jason Liu,
- Frederick P. Wieland,
- General Chair:
- David Nicol,
- Program Chair:
- Richard Fujimoto
Sponsors
- IIE: Institute of Industrial Engineers
- ASA: American Statistical Association
- IEICE ESS: Institute of Electronics, Information and Communication Engineers, Engineering Sciences Society
- IEEE-CS\DATC: The IEEE Computer Society
- SIGSIM: ACM Special Interest Group on Simulation and Modeling
- NIST: National Institute of Standards and Technology
- (SCS): The Society for Modeling and Simulation International
- INFORMS-CS: Institute for Operations Research and the Management Sciences-College on Simulation
Publisher
Winter Simulation Conference
Publication History
Published: 03 December 2006
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WSC06
Sponsor:
- IIE
- ASA
- IEICE ESS
- IEEE-CS\DATC
- SIGSIM
- NIST
- (SCS)
- INFORMS-CS
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WSC '06 Paper Acceptance Rate 177 of 252 submissions, 70%;
Overall Acceptance Rate 3,413 of 5,075 submissions, 67%
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