Extensions of von Neumann’s method for generating random variables
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- by John F. Monahan PDF
- Math. Comp. 33 (1979), 1065-1069 Request permission
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.References
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Additional Information
- © Copyright 1979 American Mathematical Society
- Journal: Math. Comp. 33 (1979), 1065-1069
- MSC: Primary 65C10
- DOI: https://doi.org/10.1090/S0025-5718-1979-0528058-7
- MathSciNet review: 528058