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Mathematics of Computation

ISSN 1088-6842(online) ISSN 0025-5718(print)



Extensions of von Neumann's method for generating random variables

Author: John F. Monahan
Journal: Math. Comp. 33 (1979), 1065-1069
MSC: Primary 65C10
MathSciNet review: 528058
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Abstract: Von Neumann's method of generating random variables with the exponential distribution and Forsythe's method for obtaining distributions with densities of the form $ {e^{ - G(x)}}$ are generalized to apply to certain power series representations. The flexibility of the power series methods is illustrated by algorithms for the Cauchy and geometric distributions.

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Keywords: Random number generation, von Neumann's comparison method
Article copyright: © Copyright 1979 American Mathematical Society