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Luengo García, David ORCID: https://orcid.org/0000-0001-7407-3630 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.
Title: | Efficient random variable generation: ratio of uniforms and polar rejection sampling |
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Author/s: |
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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 |
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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".
Item ID: | 22661 |
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DC Identifier: | https://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?arnumb... |
Deposited by: | Memoria Investigacion |
Deposited on: | 25 Mar 2014 16:15 |
Last Modified: | 21 Apr 2016 17:39 |