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

authors

  • LUENGO GARCIA, DAVID
  • MARTINO, LUCA

publication date

  • March 2012

start page

  • 326

end page

  • 327

issue

  • 6

volume

  • 48

International Standard Serial Number (ISSN)

  • 0013-5194

Electronic International Standard Serial Number (EISSN)

  • 1350-911X

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.

keywords

  • bayes methods; gaussian processes; monte carlo methods; random processes; signal sampling