Performance comparison of random number generators based on Adaptive Rejection Sampling
적응 기각 추출을 기반으로 하는 난수 생성기의 성능 비교

Hyotae Kim, Seongil Jo, Taeryon Choi
2015 Journal of the Korean Data and Information Science Society  
Adaptive Rejection Sampling (ARS) method is a well-known random number generator to acquire a random sample from a probability distribution, and has the advantage of improving the proposal distribution during the sampling procedures, which update it closer to the target distribution. However, the use of ARS is limited since it can be used only for the target distribution in the form of the log-concave function, and thus various methods have been proposed to overcome such a limitation of ARS. In
more » ... this paper, we attempt to compare five random number generators based on ARS in terms of adequacy and efficiency. Based on empirical analysis using simulations, we discuss their results and make a comparison of five ARS-based methods.
doi:10.7465/jkdi.2015.26.3.593 fatcat:dh7jvdzrnfe2hevonzlbt5pive