2024/01/18 by Hörmann, Wolfgang
paper · doi:10.57938/feb80d49-2db4-4305-bf0f-09b35b3f45f1
The transformed rejection method, a combination of the inversion and the rejection method, which is used to generate non-uniform random numbers from a variety of continuous distributions can be applied to discrete distributions as well. For the Poisson distribution a short and simple algorithm is obtained which is well suited for large values of the Poisson parameter μ, even when μ may vary from call to call. The average number of uniform deviates required is lower than for any of the known uniformly fast algorithms. Timings for a C implementation show that the algorithm needs only half of the code but is - for μ not too small - at least as fast as the current state-of-the-art algorithms. (author's abstract)