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1 Acceptance-Rejection Method - Columbia

Copyrightc 2007 by Karl Sigman1 Acceptance-Rejection MethodAs we already know, finding an explicit formula forF 1(y) for the cdf of a rvXwe wish togenerate,F(x) =P(X x), is not always possible. Moreover, even if it is, there may bealternative methods for generating a rv distributed asFthat is more efficient than the inversetransform Method or other methods we have come across. Here we present a very clever methodknown as theacceptance- rejection start by assuming that theFwe wish to simulate from has a probability density functionf(x); that is, the continuous case. Later we will give a discrete version too, which is very basic idea is to find an alternative probability distributionG, with density functiong(x),from which we already have an efficient algorithm for generating from ( , inverse transformmethod or whatever), but also such that the functiong(x) is close tof(x).

Acceptance-Rejection Algorithm for continuous random variables 1. Generate a rv Y distributed as G. 2. Generate U (independent from Y). 3. If U ≤ f(Y) cg(Y), then set X = Y (“accept”) ; otherwise go back to 1 (“reject”). Before we prove this and give examples, several things are noteworthy: • f(Y) and g(Y) are rvs, hence so is the ...

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  Methods, Variable, Columbia, Acceptance, Random, Rejection, Random variables, 1 acceptance rejection method

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