Strip Methods

Abstract

Transformed density rejection as developed in Chap. 4 is a very flexible and efficient universal method for generating non-uniform random variates at the price of some computational effort and the necessity of some mathematical theory. In this chapter we follow a different strategy: Make the generation method as simple as possible. Thus we try to cover the region A _f between a density f and the x-axis by a union of rectangles. When making this enveloping region fit better and better these rectangles become more and more skinny, i.e. strips. The resulting algorithms are quite simple and (very) fast. It should be noted here, however, that this method obviously only works for bounded densities with bounded domains.