Probabilistic Shortcuts and Additional Topics

  • Luc Devroye


A probabilistic shortcut in random varlate generation is a method for reducing the expected time in a simulation by recognizing a certain structure in the problem. This principle can be illustrated in hundreds of ways. Indeed, there is not a single example that could be called “typical”. It should be stressed that the efficiency is derived from the problem itself, and is probabilistic in nature. This distinguishes these shortcuts from certain techniques that are based upon clever data structures or fast algorithms for certain sub-tasks. We will draw our examples from three sources: the simulation of maxima and sums of lid random variables, and the simulation of regenerative processes.


Characteristic Function Inversion Method Inversion Formula Discrete Event Simulation Fourth Moment 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer Science+Business Media New York 1986

Authors and Affiliations

  • Luc Devroye
    • 1
  1. 1.School of Computer ScienceMcGill UniversityMontrealCanada

Personalised recommendations