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Efficient sampling from truncated bivariate Gaussians via Box-Muller transformation
Citation
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 |
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| Author/s: |
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| 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 |
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 |
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| DC Identifier: | https://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 |
