Step 1a: Generate U 1 {\displaystyle U_{1}} ~ U ( 0 , 1 ) {\displaystyle U(0,1)}
Step 1b: Generate Y = g μ − 1 ( u ) {\displaystyle Y=g_{\mu }^{-1}(u)} (Y has a Gamma distribution)
Step 2: Generate U 2 / U ( 0 , 1 ) {\displaystyle U_{2}/~U(0,1)}
Step 3: If U 2 ≤ h ( Y ) = f ( Y ) / c g μ ( Y ) {\displaystyle U_{2}\leq h(Y)={f(Y)}/{cg_{\mu }(Y)}} Return X = Y, else Goto step 1
~
(Y has a Gamma distribution)
Return X = Y, else Goto step 1
