Versatile algorithm for economical simulating one-dimensional random variables with continuous, monotone densities over bounded, closed intervals

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Versatile algorithm for economical simulating one-dimensional random variables with continuous, monotone densities over bounded, closed intervals. / Bryzgalov, Viktor; Seitmuratov, Ubaydulla; Voytishek, Anton.

в: Monte Carlo Methods and Applications, Том 32, № 1, 20.02.2026, стр. 69-79.

Результаты исследований: Научные публикации в периодических изданиях › статья › Рецензирование

BibTeX

@article{f6efed08fe3a4376b146ddf67416f6fd,

title = "Versatile algorithm for economical simulating one-dimensional random variables with continuous, monotone densities over bounded, closed intervals",

abstract = "This paper introduces the versatile double-sided rejection method for simulating one-dimensional random variables. Effective for variables with continuous monotone densities over bounded intervals, the method uses piecewise constant majorants and minorants. The new technique for probability equalization is developed, involving constraction of special non-uniform meshes. The custom-built computer system PrEMA (Probability Equalization Modelling Algorithms) – available at https://prema.andronix1.ru – is presented. PrEMA includes the “distributed-random” library with C and Rust code implementations of the method. It also features a dialog system for comparing the costs of the double-sided algorithm to the inverse distribution function method and the modified ziggurat algorithm. The impact of different standard pseudo-random number generators on the system{\textquoteright}s performance is examined.",

keywords = "Computer modelling (sampling, generating) of sample values of one-dimensional random variables, computationally expensive formulas of the inverse distribution function method, custom-built dialog computer system PrEMA, economical double-sided rejection algorithm, piecewise constant majorant and minorant, probability equalization, standard pseudo-random number generators, Компьютерное моделирование (выборка, генерация) выборочных значений одномерных случайных величин, вычислительно затратные формулы метода обратной функции распределения, экономичный двусторонний алгоритм отбора (метод «отбраковки»), кусочно-постоянные мажоранта и миноранта, выравнивание вероятностей, специализированная диалоговая компьютерная система PrEMA, стандартные генераторы псевдослучайных чисел",

author = "Viktor Bryzgalov and Ubaydulla Seitmuratov and Anton Voytishek",

note = "Bryzgalov, V. Versatile algorithm for economical simulating one-dimensional random variables with continuous, monotone densities over bounded, closed intervals / V. Bryzgalov, U. Seitmuratov, A. Voytishek // Monte Carlo Methods and Applications. – 2026. – Vol. 32, No. 1. – P. 69-79. – DOI 10.1515/mcma-2026-2003. – EDN RKTDET. The research was carried out under state contract with ICMMG SB RAS FWNM–2025–0002",

year = "2026",

month = feb,

day = "20",

doi = "10.1515/mcma-2026-2003",

language = "English",

volume = "32",

pages = "69--79",

journal = "Monte Carlo Methods and Applications",

issn = "0929-9629",

publisher = "Walter de Gruyter GmbH",

number = "1",

}

RIS

TY - JOUR

T1 - Versatile algorithm for economical simulating one-dimensional random variables with continuous, monotone densities over bounded, closed intervals

AU - Bryzgalov, Viktor

AU - Seitmuratov, Ubaydulla

AU - Voytishek, Anton

N1 - Bryzgalov, V. Versatile algorithm for economical simulating one-dimensional random variables with continuous, monotone densities over bounded, closed intervals / V. Bryzgalov, U. Seitmuratov, A. Voytishek // Monte Carlo Methods and Applications. – 2026. – Vol. 32, No. 1. – P. 69-79. – DOI 10.1515/mcma-2026-2003. – EDN RKTDET. The research was carried out under state contract with ICMMG SB RAS FWNM–2025–0002

PY - 2026/2/20

Y1 - 2026/2/20

N2 - This paper introduces the versatile double-sided rejection method for simulating one-dimensional random variables. Effective for variables with continuous monotone densities over bounded intervals, the method uses piecewise constant majorants and minorants. The new technique for probability equalization is developed, involving constraction of special non-uniform meshes. The custom-built computer system PrEMA (Probability Equalization Modelling Algorithms) – available at https://prema.andronix1.ru – is presented. PrEMA includes the “distributed-random” library with C and Rust code implementations of the method. It also features a dialog system for comparing the costs of the double-sided algorithm to the inverse distribution function method and the modified ziggurat algorithm. The impact of different standard pseudo-random number generators on the system’s performance is examined.

AB - This paper introduces the versatile double-sided rejection method for simulating one-dimensional random variables. Effective for variables with continuous monotone densities over bounded intervals, the method uses piecewise constant majorants and minorants. The new technique for probability equalization is developed, involving constraction of special non-uniform meshes. The custom-built computer system PrEMA (Probability Equalization Modelling Algorithms) – available at https://prema.andronix1.ru – is presented. PrEMA includes the “distributed-random” library with C and Rust code implementations of the method. It also features a dialog system for comparing the costs of the double-sided algorithm to the inverse distribution function method and the modified ziggurat algorithm. The impact of different standard pseudo-random number generators on the system’s performance is examined.

KW - Computer modelling (sampling, generating) of sample values of one-dimensional random variables

KW - computationally expensive formulas of the inverse distribution function method

KW - custom-built dialog computer system PrEMA

KW - economical double-sided rejection algorithm

KW - piecewise constant majorant and minorant

KW - probability equalization

KW - standard pseudo-random number generators

KW - Компьютерное моделирование (выборка, генерация) выборочных значений одномерных случайных величин

KW - вычислительно затратные формулы метода обратной функции распределения

KW - экономичный двусторонний алгоритм отбора (метод «отбраковки»)

KW - кусочно-постоянные мажоранта и миноранта

KW - выравнивание вероятностей

KW - специализированная диалоговая компьютерная система PrEMA

KW - стандартные генераторы псевдослучайных чисел

UR - https://www.mendeley.com/catalogue/42eb67b9-19eb-3607-8099-0455ba515a4f/

UR - https://www.scopus.com/pages/publications/105030663007

UR - https://elibrary.ru/item.asp?id=90939731

U2 - 10.1515/mcma-2026-2003

DO - 10.1515/mcma-2026-2003

M3 - Article

VL - 32

SP - 69

EP - 79

JO - Monte Carlo Methods and Applications

JF - Monte Carlo Methods and Applications

SN - 0929-9629

IS - 1

ER -

ID: 85086915