Random Variate Generation: A Survey.

Abstract

The state of the art of generating random variates on a digital computer is surveyed. General concepts are presented, followed by criteria for comparing algorithms. The literature is surveyed for continuous univariate, discrete univariate, continuous multivariate, and discrete multivariate distributions, as well as point processes, time series, order statistics and geometrically inspired problems. An extensive list of references is provided. (Author)