Generating Exponential Variates
A conceptually very simple method for generating exponential variates is based on inverse transform sampling: Given a random variate U drawn from the uniform distribution on the unit interval (0, 1), the variate
has an exponential distribution, where F −1 is the quantile function, defined by
Moreover, if U is uniform on (0, 1), then so is 1 − U. This means one can generate exponential variates as follows:
Other methods for generating exponential variates are discussed by Knuth and Devroye.
The ziggurat algorithm is a fast method for generating exponential variates.
A fast method for generating a set of ready-ordered exponential variates without using a sorting routine is also available.
Read more about this topic: Exponential Distribution