Mathematical aspects of various methods for sampling from classical distributions

• Published in: Proceedings of the 21st conference on Winter simulation pp. 477 - 483
• Main Author: Dieter, U.
• Format: Conference Proceeding
• Language: English
• Published: New York, NY, USA ACM 01.10.1989
• Series: ACM Conferences
• Subjects: Applied computing > Physical sciences and engineering > Engineering; Mathematics of computing > Mathematical analysis > Integral equations; Mathematics of computing > Probability and statistics > Probabilistic algorithms; Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms > Markov-chain Monte Carlo methods; Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms > Random number generation; Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms > Sequential Monte Carlo methods
• ISBN: 0911801588; 9780911801583
• DOI: 10.1145/76738.76800

Simulations were one of the first subjects J.v. Neumann had in mind for applying computers. He recom- mended some methods for generating [0,1)-uniformly distributed random numbers which are out of use today. However, his ideas for sampling from non-uniform distributions are still widely used. Since his 1951-paper is rather short, improvements and generalisations of his ideas have been found in the meantime. They will be discussed in this paper.