A note on generating random variables with log-concave densities

DOI10.1016/j.spl.2012.01.022zbMath1255.65016OpenAlexW2086016443MaRDI QIDQ433605

Luc P. Devroye

Publication date: 5 July 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.01.022

zbMATH Keywords

simulationMonte Carlo methodexpected time analysisrejection algorithmrandom numbersrandom variate generationmodebinary searchlog-concave density functionblack-box style rejection algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Stochastic particle methods (65C35) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (10)

Remaining useful life prediction: A multiple product partition approach ⋮ Algorithms for generating random variables with a rational probability-generating function ⋮ Generation of discrete random variables in scalable frameworks ⋮ A note on a universal random variate generator for integer-valued random variables ⋮ On Data Augmentation for Models Involving Reciprocal Gamma Functions ⋮ Log-concavity and strong log-concavity: a review ⋮ Random variate generation for the truncated negative gamma distribution ⋮ Fast sampling from \(\beta \)-ensembles ⋮ Stick-breaking representation and computation for normalized generalized gamma processes ⋮ Universal methods for generating random variables with a given characteristic function

Uses Software

• AS 287

Cites Work

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• A simple algorithm for generating random variates with a log-concave density
• Adaptive Rejection Metropolis Sampling within Gibbs Sampling
• Adaptive Rejection Sampling for Gibbs Sampling

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