Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You and Your Team.

Learn More →

A quasi-Monte Carlo implementation of the ziggurat method

A quasi-Monte Carlo implementation of the ziggurat method AbstractThe 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Monte Carlo Methods and Applications de Gruyter

A quasi-Monte Carlo implementation of the ziggurat method

Loading next page...
 
/lp/de-gruyter/a-quasi-monte-carlo-implementation-of-the-ziggurat-method-ub0iDbLMI0
Publisher
de Gruyter
Copyright
© 2018 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1569-3961
eISSN
1569-3961
DOI
10.1515/mcma-2018-0008
Publisher site
See Article on Publisher Site

Abstract

AbstractThe 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.

Journal

Monte Carlo Methods and Applicationsde Gruyter

Published: Jun 1, 2018

References