In an Accept–Reject algorithm that generates a N (0, 1) random vari- able from a double-exponential distribution with density g(x|α) = (α/2) exp(−α|x|), compute the upper bound M over f /g and show that the choice α = 1 optimizes the corresponding acceptance rate.

Operations Research : Applications and Algorithms
4th Edition
ISBN:9780534380588
Author:Wayne L. Winston
Publisher:Wayne L. Winston
Chapter11: Nonlinear Programming
Section11.3: Convex And Concave Functions
Problem 23P
icon
Related questions
Question

In an Accept–Reject algorithm that generates a N (0, 1) random vari-
able from a double-exponential distribution with density g(x|α) = (α/2) exp(−α|x|),

compute the upper bound M over f /g and show that the choice α = 1 optimizes the
corresponding acceptance rate.

Expert Solution
steps

Step by step

Solved in 2 steps

Blurred answer
Knowledge Booster
Bellman operator
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, computer-science and related others by exploring similar questions and additional content below.
Similar questions
  • SEE MORE QUESTIONS
Recommended textbooks for you
Operations Research : Applications and Algorithms
Operations Research : Applications and Algorithms
Computer Science
ISBN:
9780534380588
Author:
Wayne L. Winston
Publisher:
Brooks Cole