Independent Random Sampling Methods

Description

This book systematically addresses the design and analysis of efficient techniques for independent random sampling. Both general-purpose approaches, which can be used to generate samples from arbitrary probability distributions, and tailored techniques, designed to efficiently address common real-world practical problems, are introduced and discussed in detail. In turn, the monograph presents fundamental results and methodologies in the field, elaborating and developing them into the latest techniques. The theory and methods are illustrated with a varied collection of examples, which are discussed in detail in the text and supplemented with ready-to-run computer code. The main problem addressed in the book is how to generate independent random samples from an arbitrary probability distribution with the weakest possible constraints or assumptions in a form suitable for practical implementation. The authors review the fundamental results and methods in the field, address the latest methods, and emphasize the links and interplay between ostensibly diverse techniques. Front Matter ....Pages i-xii Introduction (Luca Martino, David Luengo, Joaquín Míguez)....Pages 1-26 Direct Methods (Luca Martino, David Luengo, Joaquín Míguez)....Pages 27-63 Accept–Reject Methods (Luca Martino, David Luengo, Joaquín Míguez)....Pages 65-113 Adaptive Rejection Sampling Methods (Luca Martino, David Luengo, Joaquín Míguez)....Pages 115-157 Ratio of Uniforms (Luca Martino, David Luengo, Joaquín Míguez)....Pages 159-196 Independent Sampling for Multivariate Densities (Luca Martino, David Luengo, Joaquín Míguez)....Pages 197-247 Asymptotically Independent Samplers (Luca Martino, David Luengo, Joaquín Míguez)....Pages 249-266 Summary and Outlook (Luca Martino, David Luengo, Joaquín Míguez)....Pages 267-270 Back Matter ....Pages 271-280