Sampling from the Gamma Distribution on a Computer
This paper describes a method of generating
gamma variates that appears to be less costly than 
Wallace's recently suggested method.  For large shape parameter
(a); the cost of computation is proportional 
to (a), whereas Wallace's method is proportional to (a).
 Experimentation by Robinson and Lewis indicates 
that for small (a) the method suggested here also dominates
methods recently suggested by Dieter and 
Ahrens, albeit those methods dominate for large (a).  The
method suggested here uses the rejection technique.
CACM July, 1976
Fishman, G. S.
