EMGT 273 Discrete System Simulation

Lecture Notes by Instructor: Dr. J. Rene van Dorp Page 1

INTERMEZZO TRIANGULAR DISTRIBUTION

Three Parameters:
Lower Bound: L
Upper Bound: U
Most Likely (or Best Guess): M

Density Function of Triangular Distribution
L M U L
H?
A
1
A
2


QUESTION:
What the value of the height h?

EMGT 273 Discrete System Simulation
Lecture Notes by Instructor: Dr. J. Rene van Dorp Page 2
ANSWER:
Total Area under Density function should be one:

= + 1 ) (
2
1
) (
2
1
H M U H L M


=
)
`

+ 1 ) (
2
1
) (
2
1
M U L M H


L U
H L U H

= =
)
`

2
1 ) (
2
1





EMGT 273 Discrete System Simulation
Lecture Notes by Instructor: Dr. J. Rene van Dorp Page 3
INTERESTING OBSERVATIONS:

H does not depend on M


L U
L M
L U
L M A

=
2
) (
2
1
1
which equals the relative distance
from the lower bound.


L U
M U
L U
M U A

=
2
) (
2
1
2
which equals the relative distance
from the upper bound.

EMGT 273 Discrete System Simulation
Lecture Notes by Instructor: Dr. J. Rene van Dorp Page 4
CUMULATIVE DISTRIBUTION FUNCTION OF TRIANG(L,M,U)

) Pr( ) ( x X x F =

1. Suppose
M x L


L M U L
A
1
A
2
x


2 2
1
( )
x L x L M L
F x A
M L M L U L

| | | |
= =
| |

\ . \ .

EMGT 273 Discrete System Simulation
Lecture Notes by Instructor: Dr. J. Rene van Dorp Page 5
2. Suppose
U x M



L M U L
A
1
A
2
x


L U
M U
M U
x U
A
M U
x U
x F

|
.
|

\
|

=
|
.
|

\
|

=
2
2
2
1 1 ) (



Hence
EMGT 273 Discrete System Simulation
Lecture Notes by Instructor: Dr. J. Rene van Dorp Page 6
2
2
( )
1
x L M L
L x M
M L U L
F x
U x U M
M x U
U M U L

| |

|

\ .
=


| |

|

\ .

From the form of F(x), L X U we can derive the expression for F
-1
(y), 0 X
1.
( )
( )
1
)( 0
( )
(1 ) )( 1
M L
L y U L M L y
U L
F y
M L
U y U L U M y
U L

HOMEWORK: Derive the expression for F
-1
(y). With the form of F
-1
(y) we can
sample from a Triang(L,M,U) distribution via a Uniform Random Variable on [0,1].

EMGT 273 Discrete System Simulation
Lecture Notes by Instructor: Dr. J. Rene van Dorp Page 7
HOMEWORK: Develop a Triangular Distribution Sampler by completing the
template: TriangularTemplate.xls using the RAND function in EXCEL for
Uniform[0,1] Samples.

GENERALIZATION OF TRIANGULAR DISTRIBUTION
( )
1
n
n
x L M L
L x M
M L U L
F x
U x U M
M x L
U M U L

| |

|

\ .
=


| |

|

\ .

( )
( )
1
1
1
)( 0
( )
(1 ) )( 1
n
n
n
n
M L
L y U L M L y
U L
F y
M L
U y U L U M y
U L

EMGT 273 Discrete System Simulation
Lecture Notes by Instructor: Dr. J. Rene van Dorp Page 8
where n > 0. Is a viable alternative to the Beta Distribution (which does not have
a closed form for its cdf!). See, Kotz and Van Dorp (2004) Beyond Beta, Other
Continuous Distributions with Bounded Support and Applications, World
Scientific Publishing Company.