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27
NonUniform Random Variate Generation
, 1986
"... This is a survey of the main methods in nonuniform random variate generation, and highlights recent research on the subject. Classical paradigms such as inversion, rejection, guide tables, and transformations are reviewed. We provide information on the expected time complexity of various algorith ..."
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Cited by 879 (23 self)
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This is a survey of the main methods in nonuniform random variate generation, and highlights recent research on the subject. Classical paradigms such as inversion, rejection, guide tables, and transformations are reviewed. We provide information on the expected time complexity of various algorithms, before addressing modern topics such as indirectly specified distributions, random processes, and Markov chain methods.
NIST Net: A Linuxbased Network Emulation Tool
 Computer Communication Review
, 2003
"... Testing of network protocols and distributed applications has become increasingly complex, as the diversity of networks and underlying technologies increase, and the adaptive behavior of applications becomes more sophisticated. In this paper, we present NIST Net, a tool to facilitate testing and exp ..."
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Cited by 102 (0 self)
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Testing of network protocols and distributed applications has become increasingly complex, as the diversity of networks and underlying technologies increase, and the adaptive behavior of applications becomes more sophisticated. In this paper, we present NIST Net, a tool to facilitate testing and experimentation with network code through emulation. NIST Net enables experimenters to model and effect arbitrary performance dynamics (packet delay, jitter, bandwidth limitations, congestion, packet loss and duplication) on live IP packets passing through a commodity Linuxbased PC router. We describe the emulation capabilities of NIST Net; examine its architecture; and discuss some of the implementation challenges encountered in building such a tool to operate at very high network data rates while imposing minimal processing overhead. Calibration results are provided to quantify the fidelity and performance of NIST Net over a wide range of offered loads (up to 1 Gbps), and a diverse set of emulated performance dynamics. 1
Automatic Sampling with the RatioofUniforms Method
"... Applying the ratioofuniforms method for generating random variates results in very efficient, fast and easy to implement algorithms. However parameters for every particular type of density must be precalculated analytically. In this paper we show, that the ratioofuniforms method is also useful f ..."
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Cited by 27 (13 self)
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Applying the ratioofuniforms method for generating random variates results in very efficient, fast and easy to implement algorithms. However parameters for every particular type of density must be precalculated analytically. In this paper we show, that the ratioofuniforms method is also useful for the design of a blackbox algorithm suitable for a large class of distributions, including all with logconcave densities. Using polygonal envelopes and squeezes results in an algorithm that is extremely fast. In opposition to any other ratioofuniforms algorithm the expected number of uniform random numbers is less than two. Furthermore we show that this method is in some sense equivalent to transformed density rejection.
Continuous Random Variate Generation by Fast Numerical Inversion
, 2002
"... The inversion method for generating... In this paper we demonstrate that with Hermite interpolation of the inverse CDF we can obtain very small error bounds close to machine precision. Using our adaptive interval splitting method this accuracy is reached with moderately sized tables that allow for a ..."
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Cited by 23 (8 self)
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The inversion method for generating... In this paper we demonstrate that with Hermite interpolation of the inverse CDF we can obtain very small error bounds close to machine precision. Using our adaptive interval splitting method this accuracy is reached with moderately sized tables that allow for a fast and simple generation procedure.
2010. “Random variate generation by numerical inversion when only the density is known
 ACM Transactions on Modeling and Computer Simulation
"... ePubWU, the institutional repository of the WU Vienna University of Economics and Business, is provided by the University Library and the ITServices. The aim is to enable open access to the scholarly output of the WU. ..."
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Cited by 9 (3 self)
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ePubWU, the institutional repository of the WU Vienna University of Economics and Business, is provided by the University Library and the ITServices. The aim is to enable open access to the scholarly output of the WU.
Random Variate Generation for Unimodal and Monotone Densities
, 1984
"... Random Variate Generation for Unimodal and Monotone Densities. We consider the problem of generating random variates with a monotone nonincreasing density on [0, ~). No bounds are known that would allow a straightforward application of the rejection method, and the inverse of the distribution func ..."
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Cited by 7 (3 self)
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Random Variate Generation for Unimodal and Monotone Densities. We consider the problem of generating random variates with a monotone nonincreasing density on [0, ~). No bounds are known that would allow a straightforward application of the rejection method, and the inverse of the distribution function is not explicitly known either. We develop the inversion/rejection method, and show how it can be used for all monotone densities, even those with an infinite peak at 0 and unbounded support, provided only that the densityfand the distribution function F can be computed for each x. A theoretical analysis of the average time behaviour of the algorithms is included.
Universal Algorithms as an Alternative for Generating NonUniform Continuous Random Variates
 IN G. I
, 2000
"... This paper presents an overview of the most powerful universal methods. These are based on acceptance/rejection techniques where hat and squeezes are constructed automatically. Although originally motivated to sample from nonstandard distributions these methods have advantages that make them attra ..."
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Cited by 4 (2 self)
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This paper presents an overview of the most powerful universal methods. These are based on acceptance/rejection techniques where hat and squeezes are constructed automatically. Although originally motivated to sample from nonstandard distributions these methods have advantages that make them attractive even for sampling from standard distributions and thus are an alternative to special generators tailored for particular distributions. Most important are: the marginal generation time is fast and does not depend on the distribution. They can be used for variance reduction techniques, and they produce random numbers of predictable quality. These algorithms are implemented in a library, called UNURAN, which is available by anonymous ftp.
Variants of Transformed Density Rejection and Correlation Induction
 AND QUASIMONTE CARLO METHODS 2000
, 2001
"... In this paper we present some variants of transformed density rejection (TDR) that provide more flexibility (including the possibility to halve the expected number of uniform random numbers) at the expense of slightly higher memory requirements. Using a synchronized first stream of uniform variates ..."
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Cited by 2 (1 self)
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In this paper we present some variants of transformed density rejection (TDR) that provide more flexibility (including the possibility to halve the expected number of uniform random numbers) at the expense of slightly higher memory requirements. Using a synchronized first stream of uniform variates and a second auxiliary stream (as suggested by Schmeiser and Kachitvichyanukul (1990)) TDR is well suited for correlation induction. Thus high positive and negative correlation between two streams of random variates with same or dierent distributions can be induced.
The Multivariate Ahrens Sampling Method
, 2006
"... provided by the University Library and the ITServices. The aim is to enable open access to the scholarly output of the WU. ..."
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Cited by 2 (0 self)
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provided by the University Library and the ITServices. The aim is to enable open access to the scholarly output of the WU.