Sampling from the gamma distribution on a computer

This paper describes a method of generating gamma variates that appears to be less costly than Wallace's recently suggested method. For large shape parameter &agr;; the cost of computation is proportional to √&agr;, whereas Wallace's method is proportional to &agr;. Experimentation by Robinson and Lewis indicates that for small &agr; the method suggested here also dominates methods recently suggested by Dieter and Ahrens, albeit those methods dominate for large &agr;. The method suggested here uses the rejection technique.

View this article in the ACM Digital Library.