Pseudo-random number sampling

From Wikipedia, the free encyclopedia
Jump to: navigation, search

Pseudo-random number sampling or non-uniform pseudo-random variate generation is the numerical practice of generating pseudo-random numbers that are distributed according to a given probability distribution.

Methods of sampling a non-uniform distribution are typically based on the availability of a pseudo-random number generator producing numbers X that are uniformly distributed. Computational algorithms are then used to manipulate a single random variate, X, or often several such variates, into a new random variate Y such that these values have the required distribution.

Historically, basic methods of pseudo-random number sampling were developed for Monte-Carlo simulations in the Manhattan project;[citation needed] they were first published by John von Neumann in the early 1950s.[citation needed]

Finite discrete distributions[edit]

For a discrete probability distribution with a finite number n of indices at which the probability mass function f takes non-zero values, the basic sampling algorithm is straightforward. The interval [0, 1) is divided in n intervals [0, f(1)), [f(1), f(1) + f(2)), ... The width of interval i equals the probability f(i). One draws a uniformly distributed pseudo-random number X, and searches for the index i of the corresponding interval. The so determined i will have the distribution f(i).

Formalizing this idea becomes easier by using the cumulative distribution function

F(i)=\sum_{j=1}^i f(j).

It is convenient to set F(0) = 0. The n intervals are then simply [F(0), F(1)), [F(1), F(2)), ..., [F(n − 1), F(n)). The main computational task is then to determine i for which F(i − 1) ≤ X < F(i).

This can be done by different algorithms:

Continuous distributions[edit]

Generic methods for generating independent samples:

Generic methods for generating correlated samples (often necessary for unusually-shaped or high-dimensional distributions):

For generating a normal distribution:

For generating a Poisson distribution:

Software Libraries[edit]

GNU Scientific Library has a section entitled "Random Number Distributions" with routines for sampling under more than twenty different distributions.

Footnotes[edit]

  1. ^ Ripley (1987)[page needed]
  2. ^ Fishman (1996)[page needed]
  3. ^ Fishman (1996)[page needed]

Literature[edit]

  • Devroye, L. (1986) Non-Uniform Random Variate Generation. New York: Springer
  • Fishman, G.S. (1996) Monte Carlo. Concepts, Algorithms, and Applications. New York: Springer
  • Hörmann, W.; J Leydold, G Derflinger (2004,2011) Automatic Nonuniform Random Variate Generation. Berlin: Springer.
  • Knuth, D.E. (1997) The Art of Computer Programming, Vol. 2 Seminumerical Algorithms, Chapter 3.4.1 (3rd edition).
  • Ripley, B.D. (1987) Stochastic Simulation. Wiley.