Simulating from a mixture of exponential distributions with some negatively weighted components
David A. Elston, Chris A Glasbey · Journal of Statistical Computation and Simulation · 1989
The acceptance—rejection algorithm is slow to simulate from mixture distributions when the acceptance probability is small. For a mixture of exponential distributions, reformulation as a mixture of general Erlang distributions may increase efficiency. The reformulation which maximises acceptance probability can be found by linear programming. An example is given in which reformulation reduces the average simulation time by a factor of 15.