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Normal ratio-of-uniforms envelope (0<u<1,∣v∣≤2σu−logu​)

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 normal density h(x)=e−x2/(2σ2), the smallest axis-aligned envelope is 0<u<1 and ∣v∣≤σ2/e​. The boundary reaches that width at u=e−1/2. Region area is σπ/2​, so the acceptance rate is πe​/4, independently of σ. Multiplying h by a positive constant rescales both coordinates and their areas consistently.

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  1. Ratio-of-uniforms method
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  • Past exam of the mathematics course of the University of Cambridge / 2004 / iii / Paper 40 / 3 / iv / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2005 / iii / Paper 47 / 3 / b / i / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2009 / iii / Paper 40 / 3 / c / Solution

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