Abstract
A generalization of the Walker's method is presented for the case of continuous distributions. The proposed method is similar to the rejection technique but makes use of all the generated values. Application of the method for a normal random number generator of Kinderman and Ramage resulted in an algorithm that is equivalent to the FL5 procedure of Ahrens and Dieter.
Zusammenfassung
Es wird eine Verallgemeinerung, der Methode von Walker für den Fall kontinuierlicher Verteilungen präsentiert. Die vorgeschlagene Methode arbeitet nach dem Rückweisungsverfahren, verwendet aber alle erzeugten Zufallswerte. Die Anwendung des Verfahrens auf den Generator für normalverteilte Zufallszahlen nach Kinderman und Ramage ergibt einen Algorithmus, der zum Algorithmus FL5 von Ahrens und Dieter äquivalent ist.
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Deák, I. An economical method for random number generation and a normal generator. Computing 27, 113–121 (1981). https://doi.org/10.1007/BF02243545
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DOI: https://doi.org/10.1007/BF02243545