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A quasi-Monte Carlo implementation of the ziggurat method.
- Source :
- Monte Carlo Methods & Applications; Jun2018, Vol. 24 Issue 2, p93-99, 7p, 7 Charts, 2 Graphs
- Publication Year :
- 2018
-
Abstract
- The ziggurat method is a fast random variable generation method introduced by Marsaglia and Tsang in a series of papers. We discuss how the ziggurat method can be implemented for low-discrepancy sequences, and present algorithms and numerical results when the method is used to generate samples from the normal and gamma distributions. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 09299629
- Volume :
- 24
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Monte Carlo Methods & Applications
- Publication Type :
- Academic Journal
- Accession number :
- 129968347
- Full Text :
- https://doi.org/10.1515/mcma-2018-0008