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world:ratio-of-uniform

2023/11/14 18:37

The ratio of uniform method

The rejection algorithm is based on the following property:

  • (X,Y)Unif{(x,y):0xMf(y)} if and only if Yf and X|Y=yUnif[0,Mf(y)].

The idea of the ratio-of-uniform method is based on the following property: if (U,V)Unif{(u,v):0uMf(v/u)}, then V/Uf. This can be shown from the change of variable x=u, y=v/u, i.e. u=x, v=xy.

A simple generalisation of this result is: if (U,V)Unif{(u,v):0uG1(Mf(vg(u)))}, then V/g(U)f where g:R+R+ and G(x)=x0g(u)du.

As far as I can see, these methods can only be interesting if V=Yg(X) or U=X are easy to simulate when Yf and X|YUnif{[0,f(Y)]}. This is very linked to rejection algorithm…

world/ratio-of-uniform.txt · Last modified: 2023/04/20 08:57 by rdouc