Quantum mechanics

Algorithm

Random number generation

Philosophy

Discrete mathematics

Statistics

Multivariate statistics

Applied mathematics

Power (physics)

Computer science

Probability distribution

Simple (philosophy)

Bounded function

Physics

Mathematics

Epistemology

Discrete time and continuous time

Mathematical analysis

Generator (circuit theory)

Univariate

ACM Transactions on Mathematical Software

We use inequalities to design short universal algorithms that can be used to generate random variates from large classes of univariate continuous or discrete distributions (including all log-concave distributions). The expected time is uniformly bounded over all these distributions. The algorithms can be implemented in a few lines of high-level language code. In opposition to other black-box algorithms hardly any setup step is required, and thus it is superior in the changing-parameter case.

A simple universal generator for continuous and discrete univariate T-concave distributions