Geodesic
An effective algorithm for the simulation of ID finite probability densities by using the two-side rejection method
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 4 (2001) no. 4, pp. 373-388

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An effective general algorithm for the simulation of one-dimensional probability densities defined on a finite interval is presented. The two-side rejection algorithm has been constructed. It uses piecewise linear interval approximations of structurally simple functions. The algorithm has been investigated in detail for the beta-distribution with non-negative parameters. A modification of the algorithm for infinite densities and infinite intervals is proposed. 
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     author = {{\CYRO}. A. Makhotkin},
     title = {An effective algorithm for the simulation of {ID} finite probability densities by using the two-side rejection method},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
     pages = {373--388},
     publisher = {mathdoc},
     volume = {4},
     number = {4},
     year = {2001},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJVM_2001_4_4_a6/}
}
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О. A. Makhotkin. An effective algorithm for the simulation of ID finite probability densities by using the two-side rejection method. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 4 (2001) no. 4, pp. 373-388. http://geodesic.mathdoc.fr/item/SJVM_2001_4_4_a6/