Beta Variate Generation via Exponential Majorizing Functions

Two acceptance/rejection algorithms for generating random variates from the beta distribution are developed. The algorithms use piece-wise linear and exponential majorizing functions coupled with a piece-wise linear minorizing function. The algorithms are exact to within the accuracy of the computer...

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Bibliographic Details
Published in:	Operations research Vol. 28; no. 4; pp. 917 - 926
Main Authors:	Schmeiser, Bruce W, Babu, A. J. G
Format:	Journal Article
Language:	English
Published:	Baltimore, Md INFORMS 01-07-1980 Operations Research Society of America Institute for Operations Research and the Management Sciences
Subjects:	Algorithms Beta Distribution Mathematical independent variables Mathematical models Operations research Random variables Simulation Statistics
Online Access:	Get full text
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Summary:	Two acceptance/rejection algorithms for generating random variates from the beta distribution are developed. The algorithms use piece-wise linear and exponential majorizing functions coupled with a piece-wise linear minorizing function. The algorithms are exact to within the accuracy of the computer and are valid for all parameter values greater than one Marginal execution times are relatively insensitive to parameter values and are faster than any previously published algorithms.
ISSN:	0030-364X 1526-5463
DOI:	10.1287/opre.28.4.917