A note on generating random variables with log-concave densities

作者：Devroye Luc^*

来源：Statistics & Probability Letters, 2012, 82(5): 1035-1039.

DOI：10.1016/j.spl.2012.01.022

• Random variate generation
• Simulation
• Monte Carlo method
• Expected time analysis
• Log-concavity

We present a black-box style rejection method that is valid for generating random variables with any log-concave density, provided that one knows a mode of the density. When the density is only known up to a constant factor, that method is no longer applicable.

• 出版日期2012-5