Efficient random variable generation: ratio of uniforms and polar rejection sampling

Luengo García, David and Martino, Luca (2012). Efficient random variable generation: ratio of uniforms and polar rejection sampling. "IET Electronics Letters", v. 48 (n. 6); pp. 326-327. ISSN 0013-5194. https://doi.org/10.1049/el.2012.0206.

Description

Title: Efficient random variable generation: ratio of uniforms and polar rejection sampling
Author/s:
  • Luengo García, David
  • Martino, Luca
Item Type: Article
Título de Revista/Publicación: IET Electronics Letters
Date: 15 March 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

Full text

[img]
Preview
PDF - Requires a PDF viewer, such as GSview, Xpdf or Adobe Acrobat Reader
Download (1MB) | Preview

Abstract

Monte Carlo techniques, which require the generation of samples from some target density, are often the only alternative for performing Bayesian inference. Two classic sampling techniques to draw independent samples are the ratio of uniforms (RoU) and rejection sampling (RS). An efficient sampling algorithm is proposed combining the RoU and polar RS (i.e. RS inside a sector of a circle using polar coordinates). Its efficiency is shown in drawing samples from truncated Cauchy and Gaussian random variables, which have many important applications in signal processing and communications. RESUMEN. Método eficiente para generar algunas variables aleatorias de uso común en procesado de señal y comunicaciones (por ejemplo, Gaussianas o Cauchy truncadas) mediante la combinación de dos técnicas: "ratio of uniforms" y "rejection sampling".

More information

Item ID: 22661
DC Identifier: http://oa.upm.es/22661/
OAI Identifier: oai:oa.upm.es:22661
DOI: 10.1049/el.2012.0206
Official URL: http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=6171026&tag=1
Deposited by: Memoria Investigacion
Deposited on: 25 Mar 2014 16:15
Last Modified: 21 Apr 2016 17:39
  • Logo InvestigaM (UPM)
  • Logo GEOUP4
  • Logo Open Access
  • Open Access
  • Logo Sherpa/Romeo
    Check whether the anglo-saxon journal in which you have published an article allows you to also publish it under open access.
  • Logo Dulcinea
    Check whether the spanish journal in which you have published an article allows you to also publish it under open access.
  • Logo de Recolecta
  • Logo del Observatorio I+D+i UPM
  • Logo de OpenCourseWare UPM