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Automatic Random Variate Generation for Simulation Input

Hörmann, Wolfgang and Leydold, Josef (2000) Automatic Random Variate Generation for Simulation Input. Preprint Series / Department of Applied Statistics and Data Processing, 33. Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

We develop and evaluate algorithms for generating random variates for simulation input. One group called automatic, or black-box algorithms can be used to sample from distributions with known density. They are based on the rejection principle. The hat function is generated automatically in a setup step using the idea of transformed density rejection. There the density is transformed into a concave function and the minimum of several tangents is used to construct the hat function. The resulting algorithms are not too complicated and are quite fast. The principle is also applicable to random vectors. A second group of algorithms is presented that generate random variates directly from a given sample by implicitly estimating the unknown distribution. The best of these algorithms are based on the idea of naive resampling plus added noise. These algorithms can be interpreted as sampling from the kernel density estimates. This method can be also applied to random vectors. There it can be interpreted as a mixture of naive resampling and sampling from the multi-normal distribution that has the same covariance matrix as the data. The algorithms described in this paper have been implemented in ANSI C in a library called UNURAN which is available via anonymous ftp. (author's abstract)

Item Type: Paper
Additional Information: in: J.A. Joines, R. Barton, P. Fishwick, K. Kang (eds.), Proceedings of the 2000 Winter Simulation Conference, pp. 675-682, 2000
Keywords: random number generation / rejection method / log-concave density / transformed density rejection / black-box algorithm / universal method / kernel density estimation / smoothed bootstrap / simulation
Classification Codes: MSC 65C10
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 10 Jul 2006 13:26
Last Modified: 20 Sep 2017 04:25
URI: http://epub.wu.ac.at/id/eprint/534

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