Fast simulation of truncated Gaussian distributions

Abstract

We consider the problem of simulating a Gaussian vector X, conditional on the fact that each component of X belongs to a finite interval [a_i,b_i], or a semi-finite interval [a_i,+infty). In the one-dimensional case, we design a table-based algorithm that is computationally faster than alternative algorithms. In the two-dimensional case, we design an accept-reject algorithm. According to our calculations and our numerical studies, the acceptance rate of this algorithm is bounded from below by 0.5 for semi-finite truncation intervals, and by 0.47 for finite intervals. Extension to 3 or more dimensions is discussed.