6 chapter8 Random Variate

50 030 020 050 080 100 method given r the generation

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Unformatted text preview: on scheme becomes: R 0.5 0, x = 1, 0.5 p R 0.8 2, 0.8 p R 1.0 Consider R1 = 0.73: F(xi-1) < R <= F(xi) F(x0) < 0.73 <= F(x1) Hence, x1 = 1 10 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) Generate R Procedures: Step 1. Generate R ~ U[0,1] Step 2a. If R >= Step 2b. If R < return , accept X=R. , reject R, to Step 1 no Condition yes Output R’ R does not have the desired distribution, but R conditioned (R’) on the event {R } does. Efficiency: Depends heavily on the ability...
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This document was uploaded on 02/16/2014.

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