Introduction to Rare Event Simulation

Random Number Generation . . . . . . . . . . . . . . . . . . . . . 1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 1.2 Nonuniform Generation . . . . 8 1.2.1 The Inversion Method . 8 1.2.2 The Acceptance---Rejection Method . 10 . 1.3 Discrete Distributions . 13 . 14 1.3.2 Acceptance---Rejection . 15 .