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Composition Method

This document describes the composition method for simulating random variables from complex probability distributions. The composition method expresses the target distribution as a probability mixture of simpler distributions. It generates a random variable by first sampling which simple distribution to use, and then sampling from that distribution. Three examples are provided to illustrate how to use the composition method to simulate random variables with non-uniform, mixed, and exponential distributions.

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Marina Defta
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3K views4 pages

Composition Method

This document describes the composition method for simulating random variables from complex probability distributions. The composition method expresses the target distribution as a probability mixture of simpler distributions. It generates a random variable by first sampling which simple distribution to use, and then sampling from that distribution. Three examples are provided to illustrate how to use the composition method to simulate random variables with non-uniform, mixed, and exponential distributions.

Uploaded by

Marina Defta
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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Composition method In this technique , the p.d.f.

of the distribution to be simulated, is expressed as a probability mixture of properly selected density functions. Let be of one-parameter density functions, where y is the parameter identifying a unique g(x). If a value of y is drawn from a continuous cumulative function for X will be and X is sampled from the g(x) for that chosen y, the density function

If f(x) is a probability mass function

where

and are density functions (i = 1, n), then this technique may be applied for generating a complex distribution from simpler distributions that are themselves easily generated by the inverse transform method or by the acceptance-rejection method. Suppose that we had an efficient method to simulate the value of a random variable having either of the two p.d.f.'s {pj , j>=0} or {qj , j>=0}, and suppose we wanted to simulate the value of a random variable X having p.d.f. P(X = j) = apj + (1 - a)qj j >= 0, note then

where 0 < a < 1. One way to simulate such a r.v. X is to that if X1 and X2 are r.v.'s having respective p.d.f. { pj } and { qj }, the r.v. X defined by

will have its mass function. From this it follows that we can generate the value of such a r.v. by first generating a random number U and then generate a value of X1 if U < a and of X2 if U > a. Example 1: Suppose we want to generate the value of an r.v. X such that

By noting that

, where

and we can accomplish this by first generating a random number U and then generating from the discrete uniform over 1, 2, . . . , 10 if U < 0.5 and from the discrete uniform over 6, 7, 8, 9, 10 otherwise. That is, we can simulate X as follows 1) generate a random number U1, 2) generate a random number U2,

3) if U1 < 0.5, set X = j, if or equivalently set X = [10U2] + 1. 4) if U1 > 0.5, set

, or equivalently if

or equivalently thus X = [5U2] + 6.

If Fi , i =1, . . . , n are distribution functions and ai , i =1, . . . , n are nonnegative numbers summing to 1, then the distribution function F given by

is said to be a composition of the distribution function Fi , i =1, . . . , n . One way to simulate from F is first to simulate a r.v. I, equal to i with probability ai , i =1, . . . , n , and then to simulate from the distribution FI. This approach is often referred to as the composition approach. Example 2: Generate an r.v. from

which can be written

where

Algorithm: 1) generate U1 , U2 from U(0,1).

2)

by inverse transform method

Example 3: Generate an r.v. from

Let

and Thus The first random variable Y in now drawn from distribution determines a particular simply generated from Algorithm: 1) generate from U(0, 1), . Once this y is selected, it is then The desired random variable X from

2) by inverse transform method 3) if Y is selected then the distribution of X is exponential with parameter Y. Generate X by inverse transform method X = -(1/Y) log U2.

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