Extensions of von Neumann's Method for Generating Random Variables
John F. Monahan · Mathematics of Computation · 1979
Von Neumann's method of generating random variables with the exponential distribution and Forsythe's method for obtaining distributions with densities of the form e/sup -G//sup( x/) are generalized to apply to certain power series representations. The flexibility of the power series methods is illustrated by algorithms for the Cauchy and geometric distributions.