Random-Variate Generation

Need for Random-Variates We, usually, model uncertainty and unpredictability with statistical distributions Thereby, in order to run the simulation models involving uncertainty, we need to get samples from these statistical distributions Here, we assume that the distributions (type and parameters) are already specified ARENA comes with ready functions to sample from specified distributions. It is still useful to know how it is done We will generate the variates always using random numbers, whose generation is discussed previously

Inverse Transform Technique -- Exponential Distribution To generate samples from exponential distribution we use the inverse transform technique Step 1. Compute the cdf of the desired random variable X, F(x). Step 2. Find the inverse of F(x) function Step 4. Generate uniform random variables R 1, R 2, R 3, … and compute the desired random variates by

Inverse Transform Technique -- Exponential Distribution

Example: Generate 200 variates X i with distribution exp( = 1) Check: Does the random variable X 1 have the desired distribution?

Proof? Can you prove that the numbers you have generated are indeed samples from an exponential distribution?

Other Distributions Uniform Distribution [ UN(a,b)] (X = a + (b-a)R) Does it really work? Weibull Distribution Derive the transformation Triangular …. The moral is if we can find a closed-form inverse of the cdf for a distribution we can use this method to get samples from that distribution

Continuous Functions without a Closed-Form Inverse Some distributions do not have a closed form expression for their cdf or its inverse (normal, gamma, beta, …) What can be done then? Approximate the inverse cdf For the standard normal distribution: This approximation gives at least one-decimal place accuracy in the range [ , ]

Discrete Distributions An Empirical Discrete Distribution p(0) = P(X=0) = 0.50 p(1) = P(X=1) = 0.30 p(2) = P(X=2) = 0.20 Can we apply the inverse transform technique?

Discrete Distributions Let x 0 = - , and x 1, x 2, …, x n, be the ordered probability mass points for the random variable X Let R be a random number

Discrete Distributions A Discrete Uniform Distribution

Discrete Distributions The Geometric Distribution Some algebraic manipulation and …

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) R does not have the desired distribution, but R conditioned (R’) on the event {R  ¼} does. Efficiency: Depends heavily on the ability to minimize the number of rejections. Procedures: Step 1. Generate R ~ U[0,1] Step 2a. If R >= ¼, accept X=R. Step 2b. If R < ¼, reject R, return to Step 1 Generate R Condition Output R’ yes no

Acceptance-Rejection Technique Poisson Distribution N can be interpreted as number of arrivals from a Poisson arrival process during one unit of time Then time between the arrivals in the process are exponentially distributed with rate 

Acceptance-Rejection Technique Step 1. Set n = 0, and P = 1 Step 2. Generate a random number R n+1 and let P = P. R n+1 Step 3. If P < e - , then accept N = n. Otherwise, reject current n, increase n by one, and return to step 2 How many random numbers will be used on the average to generate one Poisson variate?

Direct Transformations Consider two normal variables Z 1 and Z 2

Direct Transformation Approach for normal( ,   ): Generate Z i ~ N(0,1) Approach for lognormal( ,   ): Generate X ~ N( ,   ) Y i = e X i X i =  +  Z i

Convolution Method Erlang Distribution An Erlang-K random variable X with parameters (K,  ) (1/  is the mean, K is the stage number) can be obtained by summing K independent exponential random variables each having mean 1/(K  )