“Without the possibility of computing infimum and supremum of the density f over compact subintervals of the domain of f, sampling absolutely continuous distribution using the rejection method seems to be impossible in total generality.”
The von Neumann algorithm is another name for the rejection method introduced by von Neumann circa 1951. It was thus most exciting to spot a paper by Luc Devroye and Claude Gravel appearing in the latest Statistics and Computing. Assessing the method in terms of random bits and precision. Specifically, assuming that the only available random generator is one of random bits, which necessarily leads to an approximation when the target is a continuous density. The authors first propose a bisection algorithm for distributions defined on a compact interval, which compares random bits with recursive bisections of the unit interval and stops when the interval is small enough.
In higher dimension, for densities f over the unit hypercube, they recall that the original algorithm consisted in simulating uniforms x and u over the hypercube and [0,1], using the uniform as the proposal distribution and comparing the density at x, f(x), with the rescaled uniform. When using only random bits, the proposed method is based on a quadtree that subdivides the unit hypercube into smaller and smaller hypercubes until the selected hypercube is entirely above or below the density. And is small enough for the desired precision. This obviously requires for the computation of the upper and lower bound of the density over the hypercubes to be feasible, with Devroye and Gravel considering that this is a necessary property as shown by the above quote. Densities with non-compact support can be re-expressed as densities on the unit hypercube thanks to the cdf transform. (Actually, this is equivalent to the general accept-reject algorithm, based on the associated proposal.)
“With the oracles introduced in our modification of von Neumann’s method, we believe that it is impossible to design a rejection algorithm for densities that are not Riemann-integrable, so the question of the design of a universally valid rejection algorithm under the random bit model remains open.”
In conclusion, I enjoyed very much reading this paper, especially the reflection it proposes on the connection between Riemann integrability and rejection algorithms. (Actually, I cannot think straight away of a simulation algorithm that would handle non-Riemann-integrable densities, apart from nested sampling. Or of significant non-Riemann-integrable densities.)