IJPAM: Volume 57, No. 1 (2009)

A GENERALIZATION OF THE REJECTION
METHOD OF SIMULATION THROUGH
THE RADON-NIKODÝM DERIVATIVE

César E. Villarreal
Ingeniería de Sistemas
Facultad de Ingeniería Mecánica y Eléctrica
Universidad Autónoma de Nuevo León
Ciudad Universitaria
San Nicolás de los Garza, 66450, N.L., MEXICO
e-mail: cesar.villarrealrd@uanl.edu.mx


Abstract.A generalization of the acceptance-rejection method in $\mathbb{R}^n$ is proposed for simulating outcomes of a random experiment in an arbitrary probability space $(\varOmega, \varSigma, \mu)$, comparing with the outcomes of $(\varOmega, \varSigma, \nu)$, where there is a finite constant $M\ge 1$ such that $\mu\le M\nu$.

Received: August 22, 2009

AMS Subject Classification: 28A35, 60A10

Key Words and Phrases: acceptance-rejection method, Radon-Nikodým derivative

Source: International Journal of Pure and Applied Mathematics
ISSN: 1311-8080
Year: 2009
Volume: 57
Issue: 1