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non-uniform Laplace generation

June 5, 2019

This year, the French Statistical Society (SFDS) Prix Laplace has been granted to Luc Devroye, author of the Non-Uniform Random Generation bible. among many achievements!, prize that he will receive during the 2019 meeting in Nancy, this very week.

scalable Metropolis-Hastings

February 12, 2019

Among the flury of arXived papers of last week (414!), including a fair chunk of papers submitted to ICML 2019, I spotted one entry by Cornish et al. on scalable Metropolis-Hastings, which Arnaud Doucet had mentioned to me yesterday when in Oxford. The paper builds on the delayed acceptance paper we wrote with Marco Banterlé, […]

ziggurat algorithm

October 30, 2018

A ziggurat (Akkadian: ziqqurat, D-stem of zaqāru “to build on a raised area”) is a type of massive stone structure built in ancient Mesopotamia. It has the form of a terraced compound of successively receding stories or levels. Wikipedia In a recent arXival, Jalalvand and Charsooghi revisit the ziggurat algorithm that simulates from a univariate […]

George Forsythe’s last paper

May 25, 2018

When looking for a link in a recent post, I came across Richard Brent’ arXival of historical comments on George Forsythe’s last paper (in 1972). Which is about the Forsythe-von Neumann approach to simulating exponential variates, covered in Luc Devroye’s Non-Uniform Random Variate Generation in a special section, Section 2 of Chapter 4,  is about […]

independent random sampling methods [book review]

May 16, 2018

Last week, I had the pleasant surprise to receive a copy of this book in the mail. Book that I was not aware had been written or published (meaning that I was not involved in its review!). The three authors, Luca Martino, David Luengo, and Joaquín Míguez, of Independent Random Sampling Methods are from Madrid […]