Article

Free access

Efficient methods for generating some exponentially tilted random variates

Author:

Marvin K. NakayamaAuthors Info & Claims

WSC '92: Proceedings of the 24th conference on Winter simulation

Pages 603 - 608

https://doi.org/10.1145/167293.167644

Published: 01 December 1992 Publication History

PDF eReader

References

[1]

Asmusscn, S. 1985. Conjugate processes and the simulation of ruin problems. S~ochaslic Processes and Their Applications 20:213-230.

Crossref

Google Scholar

[2]

Cottr~ll, M, J. C. Fort, and G. Malgourves. 1983. Large deviations and rare events in the study of stochastic algorithms. IEEE Transactions on A utomalic Control 28:907-920.

Crossref

Google Scholar

[3]

Dcvroye, L. 1986. Non-uniform random variate generation. New York" Springer-Verlag.

Google Scholar

[4]

Dupuis, P. and J. Kushner. 1987. Stochastic systems with small noise, analysis and simulation; a phase locked loop example. SIAM journal of Applied Mathematics 47:643-661.

Digital Library

Google Scholar

[5]

Gradshteyn, I. S. and I. M. Ryzhik. 1981. Tables of integrals, series, and produc$s. New York" Academic Press.

Google Scholar

[6]

Law, A. M. and W. D. Kelton. 1991. Simulation modelling and analysis. 2d ed. New York" Academic Press.

Digital Library

Google Scholar

[7]

Parekh, S. and J. Walrand. 1989. A quick simulation method for excessive backlog in networks of queues. IEEE Transacgions on Augomatic Congrol 34:54- 66.

Crossref

Google Scholar

[8]

Sadowski, J. S. and j. A. Bucklew. 1990. On large deviations theory and asymptotically efficient Monte Carlo estimation. IEEE Transactions on Data Theory 36:579-588.

Digital Library

Google Scholar

[9]

Siegmund, D. 1976. Importance sampling in the Monte Carlo study of sequential tests. Annals of Statistics 4:673-684.

Crossref

Google Scholar

Cited By

View all

Whittemore AHalpern JGong G(1998)Testing Covariance Structure in Multivariate Models: Application to Family Disease DataJournal of the American Statistical Association10.1080/01621459.1998.1047370193:442(518-525)Online publication date: Jul-1998
https://doi.org/10.1080/01621459.1998.10473701
Glasserman PLiu T(1996)Rare-Event Simulation for Multistage Production-Inventory SystemsManagement Science10.5555/2804836.280484142:9(1292-1307)Online publication date: 1-Sep-1996
https://dl.acm.org/doi/10.5555/2804836.2804841
Cheng RSadowski DSeila A(1994)Selecting input modelsProceedings of the 26th conference on Winter simulation10.5555/193201.194010(184-191)Online publication date: 11-Dec-1994
https://dl.acm.org/doi/10.5555/193201.194010
Show More Cited By

Index Terms

Efficient methods for generating some exponentially tilted random variates
1. Computing methodologies
  1. Modeling and simulation
    1. Simulation evaluation
2. Mathematics of computing
  1. Probability and statistics
    1. Probabilistic reasoning algorithms
      1. Random number generation

Recommendations

Sampling Exponentially Tilted Stable Distributions

Several algorithms for sampling exponentially tilted positive stable distributions have recently been suggested. Three of them are known as exact methods, that is, neither do they rely on approximations nor on numerically critical procedures. One of ...
Random variate generation for exponentially and polynomially tilted stable distributions

We develop exact random variate generators for the polynomially and exponentially tilted unilateral stable distributions. The algorithms, which generalize Kanter's method, are uniformly fast over all choices of the tilting and stable parameters. The key ...
Dominated rejection algorithms for generating random variates

This focus article presents a practical modified version of the von Neumann dominated rejection method for generating univariate random variates using a distribution density function, a uniform variate over a finite interval, and an independent uniform ...

Comments

Information & Contributors

Information

Published In

WSC '92: Proceedings of the 24th conference on Winter simulation

December 1992

1410 pages

ISBN:0780307984

DOI:10.1145/167293

Chairman:
Robert C. Crain
Wolverine Software Corporation, Annandale, VA

Permission to make digital or hard copies of all or part of this work for personal or classroom use is granted without fee provided that copies are not made or distributed for profit or commercial advantage and that copies bear this notice and the full citation on the first page. Copyrights for components of this work owned by others than ACM must be honored. Abstracting with credit is permitted. To copy otherwise, or republish, to post on servers or to redistribute to lists, requires prior specific permission and/or a fee. Request permissions from [email protected]

Publisher

Association for Computing Machinery

New York, NY, United States

Publication History

Published: 01 December 1992

Permissions

Request permissions for this article.

Request Permissions

Check for updates

Qualifiers

Article

Conference

WSC90

Sponsor:

IIE
IEEE-SMCS
ASA
ACM
ORSA
SCS
TIMS
SIGSIM
IEEE-CS
NIST

WSC90: 1990 Winter Simulation Conference

December 13 - 16, 1992

Virginia, Arlington, USA

Acceptance Rates

Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

Contributors

Other Metrics

View Article Metrics

Bibliometrics & Citations

Bibliometrics

Article Metrics

4
Total Citations
View Citations
292
Total Downloads

Downloads (Last 12 months)127
Downloads (Last 6 weeks)11

Reflects downloads up to 28 Dec 2024

Other Metrics

View Author Metrics

Citations

Cited By

View all

Whittemore AHalpern JGong G(1998)Testing Covariance Structure in Multivariate Models: Application to Family Disease DataJournal of the American Statistical Association10.1080/01621459.1998.1047370193:442(518-525)Online publication date: Jul-1998
https://doi.org/10.1080/01621459.1998.10473701
Glasserman PLiu T(1996)Rare-Event Simulation for Multistage Production-Inventory SystemsManagement Science10.5555/2804836.280484142:9(1292-1307)Online publication date: 1-Sep-1996
https://dl.acm.org/doi/10.5555/2804836.2804841
Cheng RSadowski DSeila A(1994)Selecting input modelsProceedings of the 26th conference on Winter simulation10.5555/193201.194010(184-191)Online publication date: 11-Dec-1994
https://dl.acm.org/doi/10.5555/193201.194010
Cheng R(1994)Selecting input modelsProceedings of Winter Simulation Conference10.1109/WSC.1994.717117(184-191)Online publication date: 1994
https://doi.org/10.1109/WSC.1994.717117

View Options

View options

PDF

View or Download as a PDF file.

PDF

eReader

View online with eReader.

eReader

Login options

Check if you have access through your login credentials or your institution to get full access on this article.

Cited By

Index Terms

Recommendations

Sampling Exponentially Tilted Stable Distributions

Random variate generation for exponentially and polynomially tilted stable distributions

Dominated rejection algorithms for generating random variates

Comments

Published In

Sponsors

Publisher

Publication History

Permissions

Check for updates

Qualifiers

Conference

Acceptance Rates

Other Metrics

Article Metrics

Other Metrics

Cited By

PDF

eReader

Login options

Full Access

References

Cited By

Index Terms

Recommendations

Sampling Exponentially Tilted Stable Distributions

Random variate generation for exponentially and polynomially tilted stable distributions

Dominated rejection algorithms for generating random variates

Comments

Information

Published In

Sponsors

Publisher

Publication History

Permissions

Check for updates

Qualifiers

Conference

Acceptance Rates

Contributors

Other Metrics

Bibliometrics

Article Metrics

Other Metrics

Citations

Cited By

View options

PDF

eReader

Login options

Full Access

Figures

Other

Share

Share this Publication link

Share on social media

Affiliations