TY - GEN
T1 - Efficient methods for generating some exponentially tilted random variates
AU - Nakayama, Marvin K.
N1 - Funding Information:
Part of this work is based on material from the author’s Ph.D. dissertation which was written while he was a student in the Operations Research Department at Stanford University. The author would like to thank his dissertation advisor Peter W. Glynn for his guidance. The research at Stanford was supported by IBM under SUR-SST contract 1248U642. Also, the author would like to express gratitude to Randy Nelson and Perwes Shahabuddin for their helpful comments.
Publisher Copyright:
© 1992 ACM.
PY - 1992/12/1
Y1 - 1992/12/1
N2 - 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.
AB - 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.
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U2 - 10.1145/167293.167644
DO - 10.1145/167293.167644
M3 - Conference contribution
AN - SCOPUS:33748168318
SN - 0780307984
T3 - Proceedings - Winter Simulation Conference
SP - 603
EP - 608
BT - Proceedings of the 24th Conference on Winter Simulation, WSC 1992
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 24th Conference on Winter Simulation, WSC 1992
Y2 - 13 December 1992 through 16 December 1992
ER -