Random Variates

7.
1
Chapter 7
Random-Variate Generation
Prof. Dr. Mesut Gne! " Ch. 7 Random-Variate Generation
7.2
Contents
Inverse-transform Technique
Acceptance-Rejection Technique
Special Properties
7.3
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
7.4
Preparation
It is assumed that a source of uniform [0,1] random
numbers exists.
Linear Congruential Method (LCM)
Random numbers R, R
1
, R
2
, with
PDF
CDF
!
"
#
$ $
=
otherwise 0
1 0 1
) (
x
x f
R
!
"
!
#
$
>
% %
<
=
1 1
1 0
0 0
) (
x
x x
x
x F
R
0 1
f(x)
x
0 1
F(x)
x
7.5
7.6
The concept:
For CDF function: r = F(x)
Generate r from uniform (0,1), a.k.a U(0,1)
Find x, x = F
-1
(r)

r
1
x
1
r = F(x)
x
F(x)
1
r
1
x
1
r = F(x)
x
F(x)
1
r
2
x
2
7.7
The inverse-transform technique can be used in principle
for any distribution.
Most useful when the CDF F(x) has an inverse F
-1
(x)
which is easy to compute.
Required steps
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
4. Generate uniform random numbers R
1
, R
2
, R
3
, ... and compute
the desired random variate by X
i
= F
-1
(R
i
)
7.8
Inverse-transform Technique: Example
Exponential Distribution
PDF
CDF
To generate X
1
, X
2
, X
3

x
e x f
!
!
"
= ) (
x
e x F
! "
" =1 ) (
) (
) 1 ln(
) 1 ln(
) 1 ln(
1
1
1
R F X
R
X
R
X
R X
R e
R e
X
X
!
!
!
=
!
! =
!
!
=
! = !
! =
= !
"
"
"
"
"
Simplification
Since R and (1-R) are uniformly
distributed on [0,1]
!
) ln(R
X " =
7.9
7.10
Inverse-transform technique for exp(! = 1)
7.11
Example:
Generate 200 or 500 variates X
i
with distribution exp(!= 1)
Generate 200 or 500 R
s
with U(0,1), the histogram of X
s
becomes:
!
!#$
!#%
!#&
!#'
!#(
!#)
!#*
!#( $ $#( % %#( & &#( ' '#( ( (#( ) )#( *
+,-./.012 3.4567/1,
!
!#$
!#%
!#&
!#'
!#(
!#)
!#(* $#$( $#*% %#&! %#8* &#'( '#!% '#)! (#$* (#*(
9:2 ;/6<= >?:6/= ;@A
7.12
Check: Does the random variable X
1
have the desired distribution?
) ( )) ( ( ) (
0 0 1 0 1
x F x F R P x X P = ! = !
7.13
Inverse-transform Technique:
Other Distributions
Examples of other distributions for which inverse CDF
works are:
Uniform distribution
Weibull distribution
Triangular distribution
7.14
Uniform Distribution
Random variable X uniformly distributed over [a, b]
) (
) (
) (
a b R a X
a b R a X
R
a b
a X
R X F
! + =
! = !
=
!
!
=
7.15
Weibull Distribution
( )
!
"
x
e X F
#
# =1 ) (
( )
( )
( )
!
! !
! !
!
!
!
"
"
"
"
"
!
"
!
"
) 1 ln(
) 1 ln(
) 1 ln(
) 1 ln(
) 1 ln(
1
1
) (
R X
R X
R X
R
X
R
R e
R e
R X F
X
X
X
# # $ =
# $ # =
# $ # =
# # =
# = #
# =
= #
=
#
#
The Weibull Distribution is
described by
PDF
CDF
The variate is
( )
!
"
!
!
"
!
x
e x x f
#
#
=
1
) (
7.16
Triangular Distribution
The CDF of a Triangular
Distribution with endpoints
(0, 2) is given by
X is generated by
!
"
!
#
$
% < & &
% %
=
1 ) 1 ( 2 2
0 2
2
1
2
1
R R
R R
X
!
!
"
!
!
#
$
% %
&
&
% %
=
2 1
2
) 2 (
1
1 0
2
) (
2
2
X
X
X
X
X R
!
!
!
"
!
!
!
#
$
>
% <
&
&
% <
%
=
2 1
2 1
2
) 2 (
1
1 0
2
0 0
) (
2
2
x
x
x
x
x
x
x F
7.17
Empirical Continuous Distributions
When theoretical distributions are not applicable
To collect empirical data:
Resample the observed data
Interpolate between observed data points to fill in the gaps
7.18
For a small sample set (size n):
Arrange the data from smallest to largest

Set x
(0)
=0
Assign the probability 1/n to each interval
The slope of each line segment is defined as
The inverse CDF is given by
(n) (2) (1)
x x x ! ! !
n i , , 2 , 1 x x x
(i) 1) - (i
= ! !
!
"
#
$
%
&
'
' + = =
'
'
n
i
R a x R F X
i i
) 1 (
) (
) 1 (
1
n
x x
n
i
n
i
x x
a
i i i i
i
1 ) 1 (
) 1 ( ) ( ) 1 ( ) ( ! !
!
=
!
!
!
=
n
i
R
n
i
! <
" ) 1 (
when
7.19
i Interval PDF CDF Slope a
i
1 0.0 < x ! 0.8 0.2 0.2 4.00
2 0.8 < x ! 1.24 0.2 0.4 2.20
3 1.24 < x ! 1.45 0.2 0.6 1.05
4 1.45 < x ! 1.83 0.2 0.8 1.90
5 1.83 < x !2.76 0.2 1.0 4.65
66 . 1
) 6 . 0 71 . 0 ( 90 . 1 45 . 1
) / ) 1 4 ( (
71 . 0
1 4 ) 1 4 ( 1
1
=
! + =
! ! + =
=
!
n R a x X
R
7.20
What happens for large samples of data
Several hundreds or tens of thousand
First summarize the data into a frequency distribution
with smaller number of intervals
Afterwards, fit continuous empirical CDF to the frequency
distribution
Slight modifications
Slope
The inverse CDF is given by
1
) 1 ( ) (
!
!
!
!
=
i i
i i
i
c c
x x
a
( )
i i i i i
c R c c R a x R F X ! < " + = =
" " "
"
1 1 ) 1 (
1
when ) (
c
i
cumulative probability of
the first i intervals
7.21
Example: Suppose the data collected for 100 broken-widget
repair times are:
Interval
(Hours) Frequency
Relative
Frequency
Cumulative
Frequency, c
i
Slope, a
i
0.25 ! x ! 0.5 31 0.31 0.31 0.81
0.5 ! x ! 1.0 10 0.10 0.41 5.00
1.0 ! x ! 1.5 25 0.25 0.66 2.00
1.5 ! x ! 2.0 34 0.34 1.00 1.47
Consider R
1
= 0.83:

c
3
= 0.66 < R
1
< c
4
= 1.00

X
1
= x
(4-1)
+ a
4
(R
1
c
(4-1)
)
= 1.5 + 1.47(0.83-0.66)
= 1.75
7.22
Problems with empirical distributions
The data in the previous example is restricted in the range
0.25 ! X ! 2.0
The underlying distribution might have a wider range
Thus, try to find a theoretical distribution
Hints for building empirical distributions based on
frequency tables
It is recommended to use relatively short intervals
Number of bins increase
This will result in a more accurate estimate
7.23
Continuous Distributions
A number of continuous distributions do not have a closed
form expression for their CDF, e.g.
Normal
Gamma
Beta
The presented method does not work for these
distributions
Solution
Approximate the CDF or numerically integrate the CDF
Problem
Computationally slow
( ) ( )dt x F
x
t
exp ) (
2
2
1
2
1
!
" #
#
# =
$
% $
7.24
Discrete Distribution
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
Geometric
7.25
Example: Suppose the number of shipments, x, on the
loading dock of a company is either 0, 1, or 2
Data - Probability distribution:
The inverse-transform technique as table-lookup
procedure
Set X = x
i

) ( ) (
1 1 i i i i
x F r R r x F = ! < =
" "
x P(x) F(x)
0 0.50 0.50
1 0.30 0.80
2 0.20 1.00
7.26
0 . 1 8 . 0
8 . 0 5 . 0
5 . 0
, 2
, 1
, 0
! <
! <
!
"
#
"
$
%
=
R
R
R
x
Method - Given R, the
generation scheme
becomes:
i Input r
i
Output x
i
1 0.5 0
2 0.8 1
3 1.0 2
Table for generating the
discrete variate X
Consider R
1
= 0.73:
F(x
i-1
) < R ! F(x
i
)
F(x
0
) < 0.73 ! F(x
1
)
Hence, X
1
= 1
0.8
7.27
7.28
Useful particularly when inverse CDF does not exist in closed form
Thinning
Illustration: To generate random variates, X ~ U(1/4,1)
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.
Procedure:
Step 1. Generate R ~ U(0,1)
Step 2. If R # $, accept X=R.
Step 3. If R < $, reject R, return to Step 1
Generate R
Condition
Output R
yes
no
7.29
Acceptance-Rejection Technique:
Poisson Distribution
Probability mass function of a Poisson Distribution
Exactly n arrivals during one time unit
Since interarrival times are exponentially distributed we can set
Well known, we derived this generator in the beginning of the class
!
!
"
= = e
n
n N P
n
!
) (
1 2 1 2 1
1
+
+ + + + < ! + + +
n n n
A A A A A A A ! !
!
) ln(
i
i
R
A
"
=
7.30
Substitute the sum by
Simplify by
multiply by -#, which reverses the inequality sign
sum of logs is the log of a product
Simplify by e
ln(x)
= x
! !
+
=
"
=
> #
1
1 1
n
i
i
n
i
i
R e R
$
! !
+
= =
"
< #
"
1
1 1
) ln(
1
) ln(
n
i
i
n
i
i
R R
$ $
! !
" "
+
= =
+
= =
> # $
> # $
1
1 1
1
1 1
ln ln
) ln( ) ln(
n
i
i
n
i
i
n
i
i
n
i
i
R R
R R
%
%
7.31
Procedure of generating a Poisson random variate N is as
follows
1. Set n=0, P=1
2. Generate a random number R
n+1
, and replace P by P x R
n+1

3. If P < exp(-#), then accept N=n
Otherwise, reject the current n, increase n by one, and return
to step 2.

7.32
Example: Generate three Poisson variates with mean #=0.2
exp(-0.2) = 0.8187
Variate 1
Step 1: Set n = 0, P = 1
Step 2: R1 = 0.4357, P = 1 x 0.4357
Step 3: Since P = 0.4357 < exp(- 0.2), accept N = 0
Variate 2
Step 1: Set n = 0, P = 1
Step 2: R1 = 0.4146, P = 1 x 0.4146
Step 3: Since P = 0.4146 < exp(-0.2), accept N = 0
Variate 3
Step 1: Set n = 0, P = 1
Step 2: R1 = 0.8353, P = 1 x 0.8353
Step 3: Since P = 0.8353 > exp(-0.2), reject n = 0 and return to Step 2 with n = 1
Step 2: R2 = 0.9952, P = 0.8353 x 0.9952 = 0.8313
Step 3: Since P = 0.8313 > exp(-0.2), reject n = 1 and return to Step 2 with n = 2
Step 2: R3 = 0.8004, P = 0.8313 x 0.8004 = 0.6654
Step 3: Since P = 0.6654 < exp(-0.2), accept N = 2
7.33
It took five random numbers to generate three Poisson
variates
In long run, the generation of Poisson variates requires
some overhead!
N R
n+1
P Accept/Reject Result
0 0.4357 0.4357 P < exp(- #) Accept N=0
0 0.4146 0.4146 P < exp(- #) Accept N=0
0 0.8353 0.8353 P " exp(- #) Reject
1 0.9952 0.8313 P " exp(- #) Reject
2 0.8004 0.6654 P < exp(- #) Accept N=2
7.34
Special Properties
7.35
Special Properties
Based on features of particular family of probability
distributions
For example:
Direct Transformation for normal and lognormal distributions
Convolution
7.36
Direct Transformation
Approach for N(0,1)
PDF
CDF, No closed form available
!
" #
#
=
x t
dt e x F
2
2
2
1
) (
$
2
2
2
1
) (
x
e x f
!
=
"
7.37
Approach for N(0,1)
Consider two standard normal random variables, Z
1
and Z
2
, plotted as
a point in the plane:
In polar coordinates:
Z
1
= B cos(#)
Z
2
= B sin(#)
(Z
1
,Z
2
)
"
Z
1

Z
2

B
7.38
Chi-square distribution
Given k independent N(0, 1) random variables X
1
, X
2
, , X
k
, then
the sum is according to the Chi-square distribution
PDF
!
=
=
k
i
i k
X
1
2 2
"
( )
2 2
2
1
2
2
1
) , (
x k
k
e x k x f
k
! !
"
=
7.39
The following relationships are known
B
2
= Z
2
1
+ Z
2
2
~ $
2
distribution with 2 degrees of freedom = exp(! = 1/2).
Hence:
The radius B and angle # are mutually independent.
R B ln 2 ! =
) 2 sin( ln 2
) 2 cos( ln 2
2 1 2
2 1 1
R R Z
R R Z
!
!
" =
" =
7.40
Approach for N(, #
2
):
Generate Z
i
~ N(0,1)

Approach for Lognormal(,%
2
):
Generate X ~ N(,%
2
)
Y
i
= e
X
i

X
i
= + # Z
i
7.41
Direct Transformation: Example
Let R
1
= 0.1758 and R
2
=0.1489
Two standard normal random variates are generated as
follows:
To obtain normal variates X
i
with mean =10 and variance
#
2
= 4
50 . 1 ) 1489 . 0 2 sin( ) 1758 . 0 ln( 2
11 . 1 ) 1489 . 0 2 cos( ) 1758 . 0 ln( 2
2
1
= ! =
= ! =
"
"
Z
Z
00 . 13 50 . 1 2 10
22 . 12 11 . 1 2 10
2
1
= ! + =
= ! + =
X
X
7.42
Convolution
Convolution
The sum of independent random variables
Can be applied to obtain
Erlang variates
Binomial variates
7.43
Convolution
Erlang Distribution
Erlang random variable X with parameters (k, &) can be
depicted as the sum of k independent exponential random
variables X
i
, i = 1, , k each having mean 1/(k &)
!
!
"
#
$
$
%
&
' =
' =
=
(
)
)
=
=
=
k
i
i
k
i
i
k
i
i
R
k
R
k
X X
1
1
1
ln
1
) ln(
1
*
*
7.44
Summary
Principles of random-variate generation via
Inverse-transform technique
Acceptance-rejection technique
Special properties
Important for generating continuous and discrete
distributions

Random Variates

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