# Von Neumann acceptance-rejection technique for 2 or more variables

I need to generate random numbers that follows a given distribution f(x). Consider the following acceptance-rejection method:

1. I generate two random numbers, $$r_1$$ and $$r_2$$, both from 0 to 1 that uniformly distributed;
2. My variable of interest $$x$$, is generated as $$x = x_{min} + r_1 (x_{max} - x_{min})$$;
3. To make the acceptance test, I use a second variable $$u$$ that is given by $$u = r_2 f_{max}$$;
4. If $$u < f(x)$$, I accept $$x$$, otherwise, I reject $$x$$.

I tested it with the following function

$$\begin{equation} f(x) = \frac{3}{8} (1 + x^2) \tag{1} \end{equation}$$

in the interval $$-1. Then, if we plot $$f(x)$$ vs $$x$$, accepted points will be bellow the curve, whereas the rejected above, as the following figure But my real problem is a lot more complex, once it depends on 3 variables, then I decided to extend the above problem to the case of 2 variables, where equation (1) becomes

$$\begin{equation} g(x,y) = \frac{3}{8} (1 + x^2 + y^2) \tag{2} \end{equation}$$

Now I have to change the above algorithm to generate $$x$$ and $$y$$. I tested 2 approaches to understand it:

Approach A:

In step 1 I just splitted $$r_{1}$$ in $$r_{1x}$$ and $$r_{1y}$$ and the other steps are quite similar to one dimensional example. However in the step 4, I tried to apply $$x$$ and $$y$$ simultaneously in the function and use the same rule (if $$u < g(x,y)$$ accept $$x$$ and $$y$$, otherwise reject them), resulting in where the black curve has $$y = 1$$ in the left plot and $$x = 1$$ in the right plot (once $$x=y=\pm1$$ gives $$g_{max}$$). This result looked weird for me, once there are rejection points bellow the curve that I expected to be the limit for them.

Approach B:

To understand this issue, I changed (splitted) the step 4 in a way where I generate $$x$$ and $$y$$ once at a time:

4.1. If $$u_x < g(x,1)$$ accept $$x$$ otherwise reject it;

4.2. If $$u_y < g(1,y)$$ accept $$y$$ otherwise reject it;

where $$u_x$$ and $$u_y$$ are independent versions of the initial $$u$$ and I used 1 in the function because $$g(1,1)$$ is its maximum value, resulting in the plot My question is: what is the right approach to generate $$x$$ and $$y$$, A or B?

The accept-reject algorithm operates in an arbitrary dimension. If the proposal is Uniform over the (bounded) support $$\mathfrak S$$ of the target density $$g(\mathbf x)$$, generating $$\mathbf x$$ uniformly over $$\mathfrak S$$ and accepting this generation if $$u\le g(\mathbf x)/\max_{\mathbf y}g(\mathbf y)$$ does produce a generation from $$f(\cdot)$$. This means that approach A is correct. That there are blue dots below the curves is not invalidating the method but rather the choice of the curves as $$g(x_1,1)$$ and $$g(1,x_2)$$. These dots in the picture are 2 dimensional projections of $$(x_1,x_2,u)$$ and whether or not $$u, rather than whether or not $$u, or $$u, which are not the target densities. What should definitely be a signal for a mistake would be to find accepted point above these curves.
Approach B is not valid, since it treats the two components of the random variable as independent. The generation is thus one for the distribution with density proportional to $$g(x_1,1)\times g(1,x_2)$$.