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Chapter 8 Random Variate Generation

This document discusses techniques for generating random variates, which are values sampled from a probability distribution. It describes the inverse transform technique, direct transformation for the normal distribution, convolution method, and acceptance-rejection technique. As an example, it shows the derivation of a random variate generator for the exponential distribution using the inverse transform method.

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245 views14 pages

Chapter 8 Random Variate Generation

This document discusses techniques for generating random variates, which are values sampled from a probability distribution. It describes the inverse transform technique, direct transformation for the normal distribution, convolution method, and acceptance-rejection technique. As an example, it shows the derivation of a random variate generator for the exponential distribution using the inverse transform method.

Uploaded by

gellymely
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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RANDOM VARIATE

GENERATION
Chapter 9

Random Variate
A value being sampled from a proven
distribution of an input variable.
Examples such as inter-arrival time and
service time.
RV generators techniques used to generate
random variates.

Techniques in Generating
Random Variates
Inverse transform technique
Direct transformation for the normal
distribution
Convolution method
Acceptance and rejection technique

Inverse Transform Technique


This technique is used to sample from
distributions such as exponential, weibull,
triangular, and empirical distributions. Most
straightforward, but not always the most
efficient.

Steps in an Inverse Transform


Technique
1. Compute the cdf of the desired random variable x.
2. Set F(X)=R on the range of X.
3. Solve the equation F(X)=R for X in terms of R.
X=f-1 (r).
4. Generate uniform random numbers and compute
the desired random variates by Xi = f-1(Ri).

Derivation of RV generator for


an exponential distribution
Ex. Given exponential distribution,
1 1 x
e ,x 0
f ( x)
0 , otherwise

Thus, the Random Variate Generator is


xi ln(1 Ri )
or
xi ln( Ri )

Uniform Distribution
1
,a x b

f ( x) b a
0 , otherwise

Thus, the RVG is

xi a (b a ) Ri

Triangular Distribution
x , a x b

f ( x ) c x , b x c
0 , otherwise

Thus, the RVG is (if a=0, b=1, and c=2)


1

2 R ,0 R 2
x
2 2(1 R ) , 1 R 1

Direct Transformation for the


Normal Distribution
Normal distribution
x

f ( x)

t 2
2

e dt - x

Direct Transformation for the


Normal Distribution
Using 2 normal random variables, plotted as
a point and represented in a polar coordinates
as:
1/ 2
Z1 (2 Ln( Ri )) cos(2Ri )

Z 2 (2 Ln( Ri ))

1/ 2

sin(2Ri )

And

X i Z i

Convolution Method
The probability distribution of a sum of two or more
independent random variables is called a convolution of the
distributions of the original variables.
The convolution method refers to adding together two or
more random variables to obtain a new random variable with
the desired distribution. This technique is useful for Erlang
and binomial variates.
For Erlang distribution:
K
1
1
X
ln Ri
Ln ( Ri )
K
i 1 K
i 1
K

Acceptance and Rejection


Technique
The efficiency of the technique
depends on being able to minimize
the number of rejections.

Example of Acceptance
Rejection Technique
Generate uniformly distributed random
variates [1/4,1]:
STEP 1: generate RN
STEP 2: if RN > or = , accept, let X=RN. If
RN < , reject and return to 1.
STEP 3:if another uniform random Variate on
[1/4,1] is needed, go to step 1.

Analysis of Simulation Data


Data Collection
Identification of Distribution of Data
Parameter Estimation
Goodness of fit Test

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