acceptance–rejection algorithm
A method for generating values of a
continuous random variable
for use in a
simulation
. Suppose that the random variable
X
, which takes values in the interval (
a
,
b
), has
probability density function
f. Denote the maximum value of f(
x
) by
M
. Let
u
and
v
be two
random numbers
uniformly distributed
in the interval (0, 1). ...