Efficient sampling from truncated bivariate Gaussians via Box-Muller transformation

Luengo García, David and Martino, Luca and Míguez Arenas, Joaquín (2012). Efficient sampling from truncated bivariate Gaussians via Box-Muller transformation. "IET Electronics Letters", v. 48 (n. 24); pp. 1533-1534. ISSN 0013-5194. https://doi.org/10.1049/el.2012.2816.

Description

Title: Efficient sampling from truncated bivariate Gaussians via Box-Muller transformation
Author/s:
  • Luengo García, David
  • Martino, Luca
  • Míguez Arenas, Joaquín
Item Type: Article
Título de Revista/Publicación: IET Electronics Letters
Date: November 2012
ISSN: 0013-5194
Volume: 48
Subjects:
Faculty: E.U.I.T. Telecomunicación (UPM)
Department: Ingeniería de Circuitos y Sistemas [hasta 2014]
Creative Commons Licenses: Recognition - No derivative works - Non commercial

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Abstract

Many practical simulation tasks demand procedures to draw samples efficiently from multivariate truncated Gaussian distributions. In this work, we introduce a novel rejection approach, based on the Box-Muller transformation, to generate samples from a truncated bivariate Gaussian density with an arbitrary support. Furthermore, for an important class of support regions the new method allows us to achieve exact sampling, thus becoming the most efficient approach possible. RESUMEN. Método específico para generar muestras de manera eficiente de Gaussianas bidimensionales truncadas con cualquier zona de truncamiento basado en la transformación de Box-Muller.

More information

Item ID: 22659
DC Identifier: http://oa.upm.es/22659/
OAI Identifier: oai:oa.upm.es:22659
DOI: 10.1049/el.2012.2816
Official URL: http://ieeexplore.ieee.org/xpl/articleDetails.jsp?arnumber=6400379&sortType%3Dasc_p_Sequence%26filter%3DAND%28p_IS_Number%3A6400365%29
Deposited by: Memoria Investigacion
Deposited on: 14 Mar 2014 19:38
Last Modified: 21 Apr 2016 17:39
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