Generating Random Numbers

Mean, Variance, Standard Deviation

n

Mean:

m=

mean(x)

xi

i =1

Variance:

s2 =

i=1

mean((x-mean(x).*(x-mean(x)))
n

Standard Deviation
std(x)

s=

( xi - m) 2

( xi - m) 2

i=1

Correlation Coefficient
Correlation coefficient
function r = corco(x,y)
mx = mean(x);
my = mean(y);
covxy = mean((x-mx).*(y-my));
r = covxy/(std(x)*std(y));

Or use Matlab function

corrcoef

r=

s XY
s X sY

Random Numbers
rand(M,N):

MxN matrix of uniformly distributed

random numbers on (0,1)

randn(M,N)

MxN matrix of normally distributed

random numbers (=0, 2=1)

normrnd(m,s,M,N) MxN matrix of normally distributed

random numbers (=m, =s)
x=randn(1,10000);
mean((x<=1))
ans =
0.8449

F (1) = 0.8413

Correlation Coefficient
X : N (0,1)
Y aX b
1

x=normrnd(0,1,1,100);
y=2*x+1;
r=corrcoef(x.',y.')
plot(x,y,'+')

N : N (0,1)
Y aX b N
0.9186

n=normrnd(0,1,1,100);
y=2*x+1+n;
r=corrcoef(x.',y.')
plot(x,y,'+')

Joint Gaussian
f X ,Y ( x, y )

1
2 1 2 (1 )
2

( x m1 ) 2 ( y m2 ) 2 2 ( x m1 )( y m2 )
1

2
2
2
1 2
2(1 ) 1
2

Joint Gaussian

0.5

Joint Gaussian

0.9

Joint Gaussian

0.9

Generating Random Numbers

Uniform
1
f ( x) =
b - a

1. Generate
2. Return

a x b

U : U (0,1)
X = a + (b - a )U

x - a
F ( x) =
b - a

x <a
a x b
b<x

Uniform
a = 10 b = 15
function genuni(N,a,b)
u=rand(1,N);
x=a+(b-a).*u;
minx=min(x);
maxx=max(x);
NumBins=51;
h=hist(x,NumBins);
for k=1:NumBins,
bincenters(k)=minx+((maxxminx)/NumBins)*(k-1/2);
end
h=h/sum(h);
bar(bincenters,h)

Or use Matlab function unifrnd(a,b,M,N)

Generating Random Numbers

Exponential

f ( x) = { l e

-lx

1. Generate
2. Return

x 0

U : U (0,1)
1
X =- ln(1- U )
l

1- e- l x
F ( x) =
0

x 0
x <0

Exponential
l =5
function genexp(N,lambda)
u=rand(1,N);
x=-1/lambda.*log(1-u);

Or use Matlab function exprnd(lambda,M,N)

Generating Random Numbers

Normal
f ( x) =

1
e
2ps

( x- m) 2
2s 2

F ( x) =

- < x <

Rayleigh
f ( x) =

1.
2.
3.
4.

x
e
2
s

x2
2s 2

Generate
Set
Generate
Return

1
e
2ps

x2

1- e 2s 2
F ( x) =

x 0

( x- m)2
2s 2

x 0
x <0

U1 : U (0,1)

Z = 2s ln

1- U1

U 2 : U (0,1)
2

X 1 = m+ Z cos(2pU 2 )

X 2 = m+ Z sin(2pU 2 )

- < x <

Normal
m= 10 s 2 = 4
function gennormal(N,mu,sigma)
for i=1:N
u=rand; z=sigma*(sqrt(2*log(1/(1u))));
u=rand;
x1(i)=mu+z*cos(2*pi*u);
x2(i)=mu+z*sin(2*pi*u);
end

Or use Matlab function normrnd(mu,sigma,M,N)

Generating Random Numbers

Binomial

n k
n- k

p(k ) =
p
(1
p
)

1. Generate
2. Return

k = 0,1,..., n

Y1 , Y2 ,..., Yn

k
n i
n- i

F (k ) =
p
(1
p
)

i=0
i

IID Bernoulli(p) random numbers

X = Y1 +Y2 +... +Yn

k <0
0 k n
k >n

Binomial
n = 20
function genbino(N,n,p)
for i=1:N,
u=rand(1,n);
y=(u<=p);
x(i)=sum(y);
end

Or use Matlab function binornd(n,p,M,N)

p = 0.5

Generating Random Numbers

Geometric

p(k ) = (1- p )

k- 1

1. Generate
2. Return

k =1, 2,...

U : U (0,1)
ln(1- U )

X =

ln(1- p )

1- (1- p) k
F (k ) =
0

k 1
k <1

Geometric
p = 0.5
function gengeo(N,p)
u=rand(1,N);
x=ceil(log(1-u)/log(1-p));

Or use Matlab function geornd(p,M,N)

Generating Random Numbers

Poisson
k

p(k ) =

l -l
e ,
k!

k = 0,1,...

F (k ) = k l i - l

e
i=0 i !

k <0
k 0

1. Set
k = 0, P = 1
2. Generate U k +1 : U (0,1) and replace P by P U k +1
3. If P < e- l accept X = k else increase k by one and return to
step 2

Poisson
l =5
function genpois(N,lambda)
for i=1:N,
k=0;p=1;
u=rand;
p=p*u;
while p>=exp(-lambda)
u=rand;
p=p*u;
k=k+1;
end
x(i)=k;
end

Or use Matlab function poissrnd(lambda,M,N)