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Generation

Raj Jain

Washington University in Saint Louis

Saint Louis, MO 63130

Jain@cse.wustl.edu

Audio/Video recordings of this lecture are available at:

http://www.cse.wustl.edu/~jain/cse567-08/

Washington University in St. Louis CSE567M 2008 Raj Jain

28-1

Overview

1. Inverse transformation

2. Rejection

3. Composition

4. Convolution

5. Characterization

28-2

Random-Variate Generation

! General Techniques

! Only a few techniques may apply to a particular

distribution

! Look up the distribution in Chapter 29

28-3

Inverse Transformation

! Used when F-1 can be determined either analytically or

empirically.

1.0

u

CDF

F(x)

0.5

0 x

Washington University in St. Louis CSE567M 2008 Raj Jain

28-4

Proof

28-5

Example 28.1

! For exponential variates:

! Thus, exponential variables can be generated by:

28-6

Example 28.2

! The packet sizes (trimodal) probabilities:

28-7

Example 28.2 (Cont)

! The inverse function is:

the value on the right of the discontinuity is used

The inverse function is continuous from the left

u=0.7 x=64

Washington University in St. Louis CSE567M 2008 Raj Jain

28-8

Applications of the Inverse-Transformation

Technique

28-9

Rejection

! Can be used if a pdf g(x) exists such that c g(x) majorizes the

pdf f(x) c g(x) > f(x) x

! Steps:

1. Generate x with pdf g(x).

2. Generate y uniform on [0, cg(x)].

3. If y < f(x), then output x and return.

Otherwise, repeat from step 1.

Continue rejecting the random variates x and y until y > f(x)

! Efficiency = how closely c g(x) envelopes f(x)

Large area between c g(x) and f(x) Large percentage of (x, y)

generated in steps 1 and 2 are rejected

! If generation of g(x) is complex, this method may not be

efficient.

Washington University in St. Louis CSE567M 2008 Raj Jain

28-10

Example 28.2

! Beta(2,4) density function:

of height 2.11

Steps:

" Generate x uniform on

[0, 1].

" Generate y uniform on

[0, 2.11].

" If y < 20 x(1-x)3, then

output x and return.

Otherwise repeat from

step 1.

Washington University in St. Louis CSE567M 2008 Raj Jain

28-11

Composition

! Can be used if CDF F(x) = Weighted sum of n other CDFs.

! n CDFs are composed together to form the desired CDF

Hence, the name of the technique.

! The desired CDF is decomposed into several other CDFs

Also called decomposition.

! Can also be used if the pdf f(x) is a weighted sum of n other

pdfs:

28-12

Steps:

! Generate a random integer I such that:

transformation method.

! Generate x with the ith pdf fi(x) and return.

28-13

Example 28.4

! pdf:

! Composition of two

exponential pdf's

! Generate

! If u1<0.5, return;

otherwise return

x=a ln u2.

! Inverse transformation

better for Laplace

Washington University in St. Louis CSE567M 2008 Raj Jain

28-14

Convolution

! Sum of n variables:

! Generate n random variate yi's and sum

! For sums of two variables, pdf of x = convolution of

pdfs of y1 and y2. Hence the name

! Although no convolution in generation

! If pdf or CDF = Sum Composition

! Variable x = Sum Convolution

28-15

Convolution: Examples

! Erlang-k = i=1k Exponentiali

! Binomial(n, p) = i=1n Bernoulli(p)

Generated n U(0,1),

return the number of RNs less than p

! 2() = i=1 N(0,1)2

! (a, b1)+(a,b2)=(a,b1+b2)

Non-integer value of b = integer + fraction

! =1n Any = Normal U(0,1) = Normal

! =1m Geometric = Pascal

! =12 Uniform = Triangular

28-16

Characterization

! Use special characteristics of distributions characterization

! Exponential inter-arrival times Poisson number of arrivals

Continuously generate exponential variates until their sum

exceeds T and return the number of variates generated as the

Poisson variate.

! The ath smallest number in a sequence of a+b+1 U(0,1)

uniform variates has a (a, b) distribution.

! The ratio of two unit normal variates is a Cauchy(0, 1) variate.

! A chi-square variate with even degrees of freedom 2() is the

same as a gamma variate (2,/2).

! If x1 and x2 are two gamma variates (a,b) and (a,c),

respectively, the ratio x1/(x1+x2) is a beta variate (b,c).

! If x is a unit normal variate, e+ x is a lognormal(, ) variate.

Washington University in St. Louis CSE567M 2008 Raj Jain

28-17

Summary

Is CDF Yes

invertible? Use inversion

Use composition

of other CDFs?

Use Composition

of other pdfs?

28-18

Summary (Cont)

Is the

Yes

variate a sum of other Use convolution

variates

Is the

Yes

variate related to other Use characterization

variates?

Does Yes

a majorizing function Use rejection

exist?

No

Use empirical inversion

Washington University in St. Louis CSE567M 2008 Raj Jain

28-19

Exercise 28.1

! A random variate has the following triangular density:

following methods:

a. Inverse-transformation

b. Rejection

c. Composition

d. Convolution

28-20

Homework 28

! A random variate has the following triangular density:

following methods:

a. Inverse-transformation

b. Rejection

c. Composition

d. Convolution

28-21

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