1 Acceptance-Rejection Method - Columbia
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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