6 chapter8 Random Variate

Efficiency depends heavily on the ability to minimize

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Unformatted text preview: to minimize the number of rejections. 11 NSPP [Acceptance-Rejection] Non-stationary Poisson Process (NSPP): a Possion arrival process with an arrival rate that varies with time Idea behind thinning: Generate a stationary Poisson arrival process at the fastest rate, * = max (t) But “accept” only a portion of arrivals, thinning out just enough to get the desired time-varying rate Generate E ~ Exp( *) t=t+E no Condition R <= (t) yes Output E ’~ t 12 NSPP [Acceptance-Rejection] Example: Generate a random variate for a NSPP Data: Arrival Rates Procedures: Step 1. * = max (t) = 1/5, t = 0 and i = 1. t (...
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