Efficient methods for generating some exponentially tilted random variates

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Scopus citations

Abstract

Exponentially tilted distributions often arise as importance sampling distributions which are derived using large deviations theory. In this paper we present simple and efficient methods for generating some exponentially tilted random variates when the input distribution is either a Weibull or a positive normal. In particular, our methods are acceptance-rejection algorithms, and we prove that the expected number of iterations tends to 1 as the tilting parameter increases to infinity. We also provide empirical results from using our proposed techniques.

Original languageEnglish (US)
Title of host publicationProceedings of the 24th Conference on Winter Simulation, WSC 1992
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages603-608
Number of pages6
ISBN (Print)0780307984
DOIs
StatePublished - Dec 1 1992
Externally publishedYes
Event24th Conference on Winter Simulation, WSC 1992 - Arlington, United States
Duration: Dec 13 1992Dec 16 1992

Publication series

NameProceedings - Winter Simulation Conference
ISSN (Print)0891-7736

Other

Other24th Conference on Winter Simulation, WSC 1992
CountryUnited States
CityArlington
Period12/13/9212/16/92

All Science Journal Classification (ASJC) codes

  • Software
  • Modeling and Simulation
  • Computer Science Applications

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