The acceptance(-rejection) method for simulating random variables

In a previous post, I covered a simple but much used method for simulating random variables or, rather, generating random variates. To simulate a random variable, the method requires, in an easy fashion, calculating the inverse of its cumulative distribution function. But you cannot always do that.

In lieu of this, the great John von Neumann wrote in a 1951 paper that you can sample a sequence of values from another probability distribution, accepting only the values that meet a certain condition based on this other distribution and the desired distribution, while rejecting all the others. The accepted values will follow the desired probability distribution. This method of simulation or sampling is called the rejection method, the acceptance method, and it has even the double-barrelled name the acceptance-rejection (AR) method.


Let \(X\) be a continuous random variable with a (probability) density \(p(x)\), which is the derivative of its cumulative probability distribution \(P(X\leq x)\). The density \(p(x)\) corresponds to the desired or target distribution from which we want to sample. For whatever reason, we cannot directly simulate the random variable \(X\). (Maybe we cannot use the inverse method because \(P(X\leq x)\) is too complicated.)

The idea that von Newman had was to assume that we can easily simulate another random variable, say, \(Y\) with the (probability) density \(q(x)\). The density \(q(x)\) corresponds to a proposal distribution that we can sample (by using, for example, the inverse method).

Now we further assume that there exists some finite constant \(M>0\) such that we can bound \(p(x)\) by \(Mq(x)\), meaning

$$ p(x) \leq M q(x), \text{ for all } x . $$

Provided this, we can then sample the random variable \(Y\) and accept a value of it (for a value of \(X\)) with probability

$$\alpha = \frac{p(Y)}{Mq(Y)}.$$

If the sampled value of \(Y\) is not accepted (which happens with probability \(1-\alpha\)), then we must repeat this random experiment until a sampled value of \(Y\) is accepted.


We give the pseudo-code for the acceptance-rejection method suggested by von Neumann.

Random variable \(X\) with density \(p(x)\)

  1. Sample a random variable \(Y\) with density \(q(x)\), giving a sample value \(y\).
  2. Calculate the acceptance probability \(\alpha = \frac{p(y)}{Mq(y)}\).
  3. Sample a uniform random variable \(U\sim U(0,1)\), giving a sample value \(u\).
  4. Return the value \(y\) (for the value of \(X\)) if \(u\leq \alpha\), otherwise go to Step 1 and repeat.

As covered in a previous post, Steps 3 and 4 are equivalent to accepting the value \(y\) with probability \(\alpha\).

Point process application

In the context of point processes, this method is akin to thinning point processes independently. This gives a method for positioning points non-uniformly by first placing the points uniformly. The method then thins points based on the desired intensity function. As I covered in a previous post, this is one way to simulate an inhomogeneous (or nonhomogeneous) Poisson point process.


Basic probability theory tells us that the number of experiment runs (Steps 1 to 3) until acceptance is a geometric variable with parameter \(\alpha\). On average the acceptance(-rejection) method will take \(1/\alpha\) number of simulations to sample one value of the random \(X\) of the target distribution. The key then is to make the proposal density \(q(x)\) as small as possible (and adjust \(M\) accordingly), while still keeping the inequality \(p(x) \leq M q(x)\).

Higher dimensions

The difficulty of the acceptance(-rejection) method is finding a good proposal distribution such that the product \(Mq(x)\) is not much larger than the target density \(p(x)\). In one-dimension, this can be often done, but in higher dimensions this becomes increasingly difficult. Consequently, this method is typically not used in higher dimensions.

Another approach with an acceptance step is the Metropolis-Hastings method, which is the quintessential Markov chain Monte Carlo (MCMC) method. This method and its cousins have become exceedingly popular, as they give ways to simulate collections of dependent random variables that have complicated (joint) distributions.

Further reading

The original paper where the acceptance(-rejection) method appears (on page 769 in the right-hand column) is:

  • von Neumann, Various techniques used in connection with random digits, 1951.

The usual books on stochastic simulations and Monte Carlo methods will detail this method. For example, see the book by Devroye (Section II.3) or the more recent Handbook of Monte Carlo Methods (Section 3.1.5) by Kroese, Taimre and Botev. The book Stochastic Simulation: Algorithms and Analysis by Asmussen and Glynn also covers the method in Section 2b.

Other books include those by Fishman (Section 8.5) and Gentle (Section 4.5) respectively.

The Box-Muller method for simulating normal variables

In the previous post, I covered a simple but much used method for simulating random variables or, rather, generating random variates. To simulate a random variable, the method requires writing down, in a tractable manner, the inverse of its cumulative distribution function.

But in the case of the normal (or Gaussian) distribution, there is no closed-form expression for its cumulative distribution function nor its inverse. This means you cannot, in an elegant and fast way at least, generate with the inverse method a single normal random variable using a single uniform random variable.

Interestingly, however, you can generate two (independent) normal variables with two (independent) uniform variables using the Box-Muller method, originally proposed by George Box and Mervin E. Muller. This approach uses the inverse method, but in practice it’s not used much (see below). I detail this method because I find it neat and it highlights the connection between the normal distribution and rotational symmetry, which has been the subject of some recent 3Blue1Brown videos on YouTube.

(This method was also used to simulate the Thomas point process, which I covered in a previous post.)

Incidentally, this connection is also mentioned in a previous post on simulating a Poisson point process on the surface of a sphere.  In that method post, Method 2 uses an observation by the Muller that normal random variables can be used to position points uniformly on spheres.

I imagine this method was first observed by transforming two normal variables, instead of guessing various distribution pairs that would work.  Then I’ll sketch the proof in the opposite direction, though it works in both directions.

Proof outline

The joint probability density of two independent variables is simply the product of the two individual probabilities densities. Then the joint density of two standard normal variables is


Now it requires a change of coordinates in two dimensions (from Cartesian to polar) using a Jacobian determinant, which in this case is \(|J(\theta,r)=r|\).1Alternatively, you can simply recall the so-called area element \(dA=r\,dr\,d\theta\).  giving a new joint probability density

$$f_{\Theta,R}(\theta,r)=\left[\frac{1}{\sqrt{2\pi}}\right]\left[ r\,e^{-r^2/2}\right]\,.$$

Now we just identify the two probability densities. The first probability density corresponds to a uniform variable on \([0, 2\pi]\), whereas the second is that of a Rayleigh variable with parameter \(\sigma=1\). Of course the proof works in the opposite direction because the transformation (between Cartesian and polar coordinates) is a one-to-one function.


Here’s the Box-Muller method for simulating two (independent) standard normal variables with two (independent) uniform random variables.

Two (independent) standard normal random variable \(Z_1\) and \(Z_2\)

  1. Generate two (independent) uniform random variables \(U_1\sim U(0,1)\) and \(U_2\sim U(0,1)\).
  2. Return \(Z_1=\sqrt{-2\ln U_1}\cos(2\pi U_2)\) and \(Z_2=\sqrt{-2\ln U_1}\sin(2\pi U_2)\).

The method effectively samples a uniform angular variable \(\Theta=2\pi U_2\) on the interval \([0,2\pi]\) and a radial variable \(R=\sqrt{-2\ln U_1}\) with a Rayleigh distribution.

The algorithm produces two independent standard normal variables. Of course, as many of us learn in high school, if \(Z\) is a standard normal variable, then the random variable \(X=\sigma Z +\mu\) is a normal variable with mean \(\mu\) and standard deviation \(\sigma>0\) .

The Box-Muller method is rarely used

Sadly this method isn’t typically used, as historically computer processors were slow at doing the calculations, so other methods were employed such as the ziggurat algorithm. Also, although processors can now do such calculations much faster, many languages, not just scientific ones, come with functions for generating normal variables. Consequently, there’s not much need in implementing this method.

Further reading


Many websites detail this method. Here’s a couple:


The original paper (which is freely available here) is:

  • 1958 – Box and Muller, A Note on the Generation of Random Normal Deviates.

Another paper by Muller connects normal variables and the (surface of a) sphere:

  • 1959 – Muller, A note on a method for generating points uniformly on n-dimensional spheres.


Many books on stochastic simulation cover the Box-Muller method. The classic book by Devroye with the descriptive title Non-Uniform Random Variate Generation covers this method; see Section 4.1. There’s also the Handbook of Monte Carlo Methods by Kroese, Taimre and Botev; see Section Ripley also covers the method (and he makes a remark with some snark that many people incorrectly spell it the Box-Müller method); see Section 3.1. The book Stochastic Simulation: Algorithms and Analysis by Asmussen and Glynn also mention the method and a variation by Marsaglia; see Examples 2.11 and 2.12.