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Andom Variate PDF

This document discusses techniques for generating random variates from specified distributions for use in simulation models. It describes the inverse-transform technique which generates uniform random numbers and applies the inverse cumulative distribution function to obtain values from the desired distribution. The acceptance-rejection technique is explained for when the inverse CDF is difficult to obtain. Special properties like direct transformations can generate normal and lognormal distributions efficiently. Examples demonstrate applying these techniques to generate values from exponential, empirical, discrete, and non-stationary Poisson distributions.

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Abhishek Nath Tiwari
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117 views9 pages

Andom Variate PDF

This document discusses techniques for generating random variates from specified distributions for use in simulation models. It describes the inverse-transform technique which generates uniform random numbers and applies the inverse cumulative distribution function to obtain values from the desired distribution. The acceptance-rejection technique is explained for when the inverse CDF is difficult to obtain. Special properties like direct transformations can generate normal and lognormal distributions efficiently. Examples demonstrate applying these techniques to generate values from exponential, empirical, discrete, and non-stationary Poisson distributions.

Uploaded by

Abhishek Nath Tiwari
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 9

Chapter 8

Random-Variate Generation
Banks, Carson, Nelson & Nicol
Discrete-Event System Simulation

Purpose & Overview

Develop understanding of generating samples


from a specified distribution as input to a
simulation model.

Illustrate some widely-used techniques for


generating random variates.
Inverse-transform

technique
Acceptance-rejection technique
Special properties

Inverse-transform Technique

The concept:
For

cdf function: r = F(x)


Generate r from uniform (0,1)
Find x:

x=

F-1(r)

r = F(x)
r1

x1

Exponential Distribution

[Inverse-transform]

Exponential Distribution:

Exponential cdf:

r=
=

F(x)
1 e-x

for x 0

To generate X1, X2, X3

Xi =
=

F-1(Ri)
-(1/) ln(1-Ri)

[Eqn 8.3]
Figure: Inverse-transform
technique for exp( = 1)

Exponential Distribution

[Inverse-transform]

Example: Generate 200 variates Xi with distribution


exp(= 1)

Generate 200 Rs with U(0,1) and utilize eqn 8.3, the histogram of
Xs become:

Check: Does the random variable X1 have the desired


distribution?
P( X 1 x0 ) = P( R1 F ( x0 )) = F ( x 0 )
5

Other Distributions

[Inverse-transform]

Examples of other distributions for which inverse


cdf works are:
Uniform

distribution
Weibull distribution
Triangular distribution

Empirical Continuous Distn

When theoretical distribution is not applicable


To collect empirical data:

[Inverse-transform]

Resample the observed data


Interpolate between observed data points to fill in the gaps

For a small sample set (size n):

Arrange the data from smallest to largest

x (1) x (2) x (n)

Assign the probability 1/n to each interval

x (i-1) x x (i)

(i 1)

X = F 1 ( R) = x(i 1) + ai R

where

ai =

x( i ) x( i 1)
1 / n (i 1) / n

x( i ) x( i 1)
1/ n
7

Empirical Continuous Distn

[Inverse-transform]

Example: Suppose the data collected for100 brokenwidget repair times are:
Cumulative Slope,
ai
Frequency, c i

Interval
(Hours)

Frequency

Relative
Frequency

0.25 x 0.5

31

0.31

0.31

0.81

0.5 x 1.0

10

0.10

0.41

5.0

1.0 x 1.5

25

0.25

0.66

2.0

1.5 x 2.0

34

0.34

1.00

1.47

Consider R1 = 0.83:
c3 = 0.66 < R1 < c4 = 1.00
X1 = x(4-1) + a4(R1 c(4-1))
= 1.5 + 1.47(0.83-0.66)
= 1.75

Discrete Distribution

[Inverse-transform]

All discrete distributions can be generated via


inverse-transform technique
Method: numerically, table-lookup procedure,
algebraically, or a formula
Examples of application:
Empirical
Discrete

uniform

Gamma

Discrete Distribution

[Inverse-transform]

Example: Suppose the number of shipments, x, on the


loading dock of IHW company is either 0, 1, or 2

Data - Probability distribution:


x

p(x)

F(x)

0
1
2

0.50
0.30
0.20

0.50
0.80
1.00

Method - Given R, the generation


scheme becomes:

R 0.5
0,

x = 1, 0.5 p R 0.8
2, 0.8 p R 1.0

Consider R1 = 0.73:
F(xi-1) < R <= F(xi)
F(x0) < 0.73 <= F(x1)
Hence, x1 = 1

10

Acceptance-Rejection technique

Useful particularly when inverse cdf does not exist in closed


form, a.k.a. thinning
Illustration: To generate random variates, X ~ U(1/4, 1)
Generate R

Procedures:

no

Step 1. Generate R ~ U[0,1]

Condition

Step 2a. If R >= , accept X=R.

yes

Step 2b. If R < , reject R, return


to Step 1

R does not have the desired distribution, but R conditioned


(R) on the event {R } does.
Efficiency: Depends heavily on the ability to minimize the
number of rejections.

NSPP

Output R

11

[Acceptance-Rejection]

Non-stationary Poisson Process (NSPP): a Possion arrival


process with an arrival rate that varies with time
Idea behind thinning:

Generate a stationary Poisson arrival process at the fastest rate,


* = max (t)
But accept only a portion of arrivals, thinning out just enough to
get the desired time-varying rate
Generate E ~ Exp(*)
t=t+E
no
Condition
R <= (t)
yes
Output E ~ t
12

NSPP

[Acceptance-Rejection]

Example: Generate a random variate for a NSPP


Data: Arrival Rates

t
(min)

Mean Time
Between
Arrivals
(min)

15

1/15

Arrival
Rate (t)
(#/min)

60

12

1/12

120

1/7

180

1/5

240

1/8

300

10

1/10

360

15

1/15

420

20

1/20

480

20

1/20

Procedures:
Step 1. * = max (t) = 1/5, t = 0 and i = 1.
Step 2. For random number R = 0.2130,
E = -5ln(0.213) = 13.13
t = 13.13
Step 3. Generate R = 0.8830

(13.13)/*=(1/15)/(1/5)=1/3
Since R>1/3, do not generate the arrival
Step 2. For random number R = 0.5530,
E = -5ln(0.553) = 2.96
t = 13.13 + 2.96 = 16.09
Step 3. Generate R = 0.0240

(16.09)/*=(1/15)/(1/5)=1/3
Since R<1/3, T1 = t = 16.09,
and i = i + 1 = 2
13

Special Properties

Based on features of particular family of


probability distributions
For example:
Direct

Transformation for normal and lognormal


distributions
Convolution
Beta distribution (from gamma distribution)

14

Direct Transformation

[Special Properties]

Approach for normal(0,1):

Consider two standard normal random variables, Z1 and Z2,


plotted as a point in the plane:
In polar coordinates:
Z1 = B cos
Z2 = B sin

B2 = Z21 + Z22 ~ chi-square distribution with 2 degrees of freedom


= Exp( = 2). Hence, B = (2 ln R )1/ 2
The radius B and angle are mutually independent.
Z1 = (2 ln R)1/ 2 cos(2R2 )
Z 2 = (2 ln R)1/ 2 sin( 2R2 )

Direct Transformation

15

[Special Properties]

Approach for normal(,2):


Generate

Zi ~ N(0,1)
Xi = + Zi

Approach for lognormal(,2):


Generate

X ~ N((,2)
Yi = eXi

16

Summary

Principles of random-variate generate via


Inverse-transform

technique
Acceptance-rejection technique
Special properties

Important for generating continuous and discrete


distributions

17

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