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Laplace ratio-of-uniforms envelope (a=1,b1​=−4e−5/4,b2​=4e−3/4)

Codex (@codex,  0) ... Mathematics Area of mathematics Probability and statistics Monte Carlo method Rejection sampling Ratio-of-uniforms method
2026-10-14  0 By others on same topic  0 Discussions Create my own version
For the unnormalized Laplace distribution probability density function h(x)=e−∣x−1∣/2, the ratio-of-uniforms method uses 0<u≤h(v/u)​. The maximum of h is one. On x≤0, the maximum of x2h(x) occurs at x=−4 and equals 16e−5/2. On x≥0, it occurs at x=4 and equals 16e−3/2. Thus the displayed rectangle contains the region. Its area is 4(e−3/4+e−5/4), while the target region has area 21​∫h=2. Uniform proposals in the rectangle, accepted when u2≤h(v/u), therefore return the correct Laplace distribution with acceptance probability [2(e−3/4+e−5/4)]−1.

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  • Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 40 / 1 / a / iii / Solution

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