Patchwork rejection algorithms

摘要

New methods for implementing rejection algorithms are suggested. The objectives are to avoid the generation of unwanted envelope variates, to use fewer pseudorandom uniform variates, and to bypass as far as possible the need to decide whether to accept or to reject. Considerably fewer than two uniforms on average, per attempted output of a target random variable, can be achieved, together with an increased acceptance rate. The generation of tail variates from a normal distribution is used as illustration.