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The Subgroup Algorithm for Generating Uniform Random Variables

Published online by Cambridge University Press:  27 July 2009

Persi Diaconis  and
Mehrdad Shahshahani
Persi Diaconis
Affiliation:
Department of StatisticsStanford University Stanford, California
Mehrdad Shahshahani
Affiliation:
Jet Propulsion Laboratory California Institute of Technology Pasadena, California
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Abstract

We suggest a simple algorithm for Monte Carlo generation of uniformly distributed variables on a compact group. Example include random permutations, Rubik's cube positions, orthogonal, unitary, and symplectic matrices, and elements of GLn over a finite field. the algorithm reduces to the “standard” fast algorithm when there is one, but many new example are included.

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Type
Articles
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Probability in the Engineering and Informational Sciences , Volume 1 , Issue 1 , January 1987 , pp. 15 - 32
Copyright
Copyright © Cambridge University Press 1987

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