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A note on generating random variables with log-concave densities

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  • Devroye, Luc

Abstract

We present a black-box style rejection method that is valid for generating random variables with any log-concave density, provided that one knows a mode of the density. When the density is only known up to a constant factor, that method is no longer applicable.

Suggested Citation

  • Devroye, Luc, 2012. "A note on generating random variables with log-concave densities," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 1035-1039.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:5:p:1035-1039
    DOI: 10.1016/j.spl.2012.01.022
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    References listed on IDEAS

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    1. W. R. Gilks & P. Wild, 1992. "Adaptive Rejection Sampling for Gibbs Sampling," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(2), pages 337-348, June.
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    Cited by:

    1. Aletti, Giacomo, 2018. "Generation of discrete random variables in scalable frameworks," Statistics & Probability Letters, Elsevier, vol. 132(C), pages 99-106.
    2. Devroye, Luc, 2021. "Random variate generation for the truncated negative gamma distribution," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 181(C), pages 51-56.

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