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    The inverse transform technique can be used to generate random numbers according to a given probability distribution. It works by taking a uniformly distributed random number U between 0 and 1, and applying the inverse cumulative distribution function F-1 to map it to a random variable X with the desired distribution. For example, to generate exponentially distributed random numbers, take the inverse of the exponential CDF F-1(U) = -λln(1-U). The poisson_sp.m file demonstrates this technique to generate exponential random variables needed for modeling a Poisson process.

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    The inverse transform technique can be used to generate random numbers according to a given probability distribution. It works by taking a uniformly distributed random number U between 0 and 1, and applying the inverse cumulative distribution function F-1 to map it to a random variable X with the desired distribution. For example, to generate exponentially distributed random numbers, take the inverse of the exponential CDF F-1(U) = -λln(1-U). The poisson_sp.m file demonstrates this technique to generate exponential random variables needed for modeling a Poisson process.

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    44 views1 page

    Random Number Generation

    Uploaded by

    phdmmg
    The inverse transform technique can be used to generate random numbers according to a given probability distribution. It works by taking a uniformly distributed random number U between 0 and 1, and applying the inverse cumulative distribution function F-1 to map it to a random variable X with the desired distribution. For example, to generate exponentially distributed random numbers, take the inverse of the exponential CDF F-1(U) = -λln(1-U). The poisson_sp.m file demonstrates this technique to generate exponential random variables needed for modeling a Poisson process.

    Copyright:

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    Generate random numbers according to a given distribution

    A commonly used technique is called the Inverse transform technique. let U be a uniform random variable in the range [0,1]. If X = F ( U ) , then X is a random variable with CDF FX ( x ) = F . Explanation for the above result: FX ( a ) = P ( X a ) = P ( F ( U ) a ) = P ( U F ( a ) ) = F ( a ) . Therefore if we have a random number generator to generate numbers according to the uniform distribution, we can generate any random variable with a known distribution.
    1 1

    Apply to exponential random variable. If FX ( x ) = 1 e


    x

    is an exponential random variable,

    . Therefore, for every number u generated with a uniform random number gen-

    1 1 1 erator, compute x as x = F ( u ) where F = F X . F ( u ) = -- ln ( 1 u ) . The poisson_sp.m file uses the rand function call in matlab to generate uniformly distributed random numbers. It then uses this inverse transform technique to find exponentially distributed random numbers. See the lecture on SP for relation between exponential distribution and Poisson process.

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