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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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/

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