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 | References | Similar Articles | Additional Information

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 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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Additional Information

DOI:
https://doi.org/10.1090/S0025-5718-1979-0528058-7

Keywords:
Random number generation,
von Neumann's comparison method

Article copyright:
© Copyright 1979
American Mathematical Society