An economical acceptance-rejection algorithm for uniform random variate generation over constrained simplexes

DOI10.1007/s11222-015-9553-xzbMath1505.62015OpenAlexW772928074MaRDI QIDQ294251

Asghar Moeini, Amir Ahmadi-Javid

Publication date: 10 June 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-015-9553-x

zbMATH Keywords

convex optimizationdistributions with imprecise probabilitiesmixture experiment designsimulation-based portfolio optimizationstochastic multi-criteria decision analysisuniform random variate generation over simplexes

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Design of statistical experiments (62K99) Convex programming (90C25) Random number generation in numerical analysis (65C10)

Related Items (2)

A simple method for rejection sampling efficiency improvement on SIMT architectures ⋮ Uniform distributions and random variate generation over generalized \(l_p\) balls and spheres

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