Transformation Method

Suppose we want to generate a deviate from a distribution p(y) dy, where p(y) = f(y), with y ranging from ymin to ymax.
Let F(y) be the cumulative distribution of f(y), from ymin to y.
Set a uniform deviate x = F(y)/F(ymax) and solve for y: this is the new generation function.
Only useful if F -1(x) is easy to compute.

Suppose we want to generate a deviate from a distribution p(y) dy, where p(y) = f(y), with y ranging from ymin to ymax.