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Title: Non-uniform random variate generation by the vertical strip method
Authors: Pang, WK
Yang, ZH
Hou, SH
Leung, PK 
Issue Date: 2002
Source: European journal of operational research, 2002, v. 142, no. 3, p. 595-609
Abstract: In this paper, a method called the vertical strip (VS) method is proposed for generating non-uniform random variates with a given density. It can be considered as an improvement of the grid method as the VS method avoids setting up a directory to store information on big rectangles. Unlike the horizontal strip method that is based on the Riemann integral, the VS method is based on the Lebesgue integral and can be applied to unbounded densities or densities with infinite support. Applications of the VS method for generating random variates, which follow the exponential distribution and normal density, are also given.
Keywords: Non-uniform random variates
Rejection-acceptance method
Vertical strip method
Publisher: Elsevier
Journal: European journal of operational research 
ISSN: 0377-2217
EISSN: 1872-6860
DOI: 10.1016/S0377-2217(01)00347-2
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