Kleber Barcia V.

Chapter 2
Random Numbers
1. Random-number generation
2. Random-variable generation
Kleber Barcia V.
Chapter 2
2
1. Objectives. Random numbers
Discuss how the random numbers are
generated.

Introduce the subsequent testing for
randomness:
Frequency test
Autocorrelation test.


Kleber Barcia V.
Chapter 2
3
Properties of random numbers
Two important statistical properties:
Uniformity
Independence.
Random Number, R
i
, must be independently drawn from a
uniform distribution with pdf:

Figure: pdf for random numbers
2
1
2
) (
1
0
2
1
0
= = =
}
x
xdx r E
( ) | |
12
1
4
1
3
1
2
1
3
) (
2
1
0
3
1
0
2
2
= =
|
.
|

\
|
= =
}
x
r E dx x r V
( )
( )
( )
( )
12
2
2
a b
r V
b a
r E

=
+
=

s s
=
otherwise , 0
1 0 , 1
) (
x
x f
Kleber Barcia V.
Chapter 2
4
Generation of pseudo-random numbers
Pseudo, because generating numbers using a known
method removes the potential for true randomness.
Goal: To produce a sequence of numbers in [0,1] that
simulates, or imitates, the ideal properties of random numbers
(RN).
Important considerations in RN routines:
Fast
Portable to different computers
Have sufficiently long cycle
Replicable
Closely approximate the ideal statistical properties of uniformity
and independence.
Kleber Barcia V.
Chapter 2
5
Techniques to generate random numbers
Middle-square algorithm
Middle-product algorithm
Constant multiplier algorithm
Linear algorithm
Multiplicative congruential algorithm
Additive congruential algorithm
Congruential non-linear algorithms
Quadratic
Blumy Shub
Kleber Barcia V.
Chapter 2
6
Middle-square algorithm
1. Select a seed x
0
with D digits (D > 3)
2. Rises to the square: (x
0
)
2

3. Takes the four digits of the Center = x
1

4. Rises to the square: (x
1
)
2

5. Takes the four digits of the Center = x
2

6. And so on. Then convert these values to r
1
between
0 and 1

If it is not possible to obtain the D digits in the Center,
add zeros to the left.
Kleber Barcia V.
Chapter 2
7
Middle-square algorithm
If x
0
= 5735
Then,
Y
0
= (5735)
2
= 32890225 x
1
= 8902 r
1
= 0.8902
Y
1
= (8902)
2
= 79245604 x
2
= 2456 r
2
= 0.2456
Y
2
= (2456)
2
= 06031936 x
3
= 0319 r
3
= 0.0319
Y
3
= (0319)
2
= 101760 x
4
= 0176 r
4
= 0.0176
Y
4
= (0176)
2
= 030976 x
5
= 3097 r
5
= 0.3097

1. Small cycles
2. May lose the series (e.g.: X
0
= 0012)

Kleber Barcia V.
Chapter 2
8
Middle-product algorithm
It requires 2 seeds of D digits

1. Select 2 seeds x
0
and x
1
with D > 3
2. Y
0
= x
0
* x
1
x
i
= digits of the center
3. Y
i
= x
i
*x
i+1
x
i+1
= digits of the center

If it is not possible to obtain the D digits in the center, add
zeros to the left.
Kleber Barcia V.
Chapter 2
9
Middle-product algorithm
Example:

Seeds x
0
= 5015 y x
1
= 5734

Y
0
= (5015)(5734) = 28756010 x
2
= 7560 r
1
= 0.756
Y
1
= (5734)(7560) = 43349040 x
3
= 3490 r
2
= 0.349
Y
2
= (7560)(3490) = 26384400 x
4
= 3844 r
3
= 0.3844
Y
3
= (3490)(3844) = 13415560 x
5
= 4155 r
4
= 0.4155
Y
4
= (3844)(4155) = 15971820 x
6
= 9718 r
5
= 0.9718

Kleber Barcia V.
Chapter 2
10
Constant multiplier algorithm
Similar to Middle-product algorithm

1. Select a seed x
0
(D > 3)
2. Select a constant "a
3. Y
0
= a*x
0
x
i
= D digits of the center
4. Y
i
= a*x
i
x
i+1
= D digits of the center
5. Repeat until you get the desired random numbers
Kleber Barcia V.
Chapter 2
11
Constant multiplier algorithm
Example:

If: seed x
0
= 9803 and constant a = 6965

Y
0
= (6965)(9803) = 68277895 x
1
= 2778 r
1
= 0.2778
Y
1
= (6965)(2778) = 19348770 x
2
= 3487 r
2
= 0.3487
Y
2
= (6965)(3487) = 24286955 x
3
= 2869 r
3
= 0.2869
Y
3
= (6965)(2869) = 19982585 x
4
= 9825 r
4
= 0.9825
Y
4
= (6965)(9825) = 68431125 x
5
= 4311 r
5
= 0.4311

Kleber Barcia V.
Chapter 2
12
Linear algorithm
To produce a sequence of integers, X
1
, X
2
, between 0 and
m-1 by following a recursive relationship:





The selection of the values for a, c, m, and X
0
drastically affects
the statistical properties and the cycle length, must be > 0
"mod (m)" is the residue of the term (ax
i
+ c) /m
The random integers are being generated [0,m-1], and to
convert the integers to random numbers:
,... 2 , 1 , 0 , mod ) (
1
= + =
+
i m c aX X
i i

The
multiplier
The
increment
The
modulus
,... 2 , 1 ,
1
= =
+
i
m
X
R
i
i
Kleber Barcia V.
Chapter 2
13
Linear algorithm
Example:

Use X
0
= 27, a = 17, c = 43 y m = 100

The values of x
i
and r
i
are:
X
1
= (17*27+43) mod 100 = 502 mod 100 = 2 r
1
= 2/99 = 0.02
X
2
= (17*2+43) mod 100 = 77 mod 100 = 77 r
2
= 77/99 = 0.77
X
3
= (17*77+43) mod 100 = 1352 mod,100 = 52 r
3
= 52/99 = 0.52

The maximum life period N is equal to m
Kleber Barcia V.
Chapter 2
14
Multiplicative congruential algorithm
It arises from the linear algorithm when c = 0. The recursive
equation is:

The values of a, m, and x
0
must be > 0 and integers

The conditions that must be fulfilled to achieve the
maximum period are:
m = 2
g

g must be integer
a = 3 + 8 k or 5 + 8 k where k = 0, 1, 2, 3,...
X
0
= should be an odd number
With these conditions we achieve N = m/4 = 2
g-2

( ) ,... 2 , 1 , 0 , mod
1
= =
+
i m aX X
i i
,... 2 , 1 ,
1
1
=

=
+
i
m
X
r
i
i
Kleber Barcia V.
Chapter 2
15
Multiplicative congruential algorithm
Example: Use x
0
= 17, k = 2, g = 5

Then: a = 5+8(2) = 21 and m=2
5
= 32

x
1
= (21*17) mod 32 = 5 r
1
= 5/31 = 0.1612
x
2
= (21*5) mod 32 = 9 r
2
= 9/31 = 0.2903
x
3
= (21*9) mod 32 = 29 r
3
= 29/31 = 0.9354
x
4
= (21*29) mod 32 = 1 r
4
= 1/31 = 0.3225
x
5
= (21*1) mod 32 = 21 r
5
= 21/31 = 0.6774
x
6
= (21*21) mod 32 = 25 r
6
= 25/31 = 0.8064
x
7
= (21*25) mod 32 = 13 r
7
= 13/31 = 0.4193
x
8
= (21*13) mod 32 = 17 r
8
= 17/31 = 0.5483
Kleber Barcia V.
Chapter 2
16
Additive congruential algorithm
Requires a sequence of n integer numbers x
1
, x
2
, x
3
,x
n

to generate new random numbers starting at x
n+1
, x
n+2
,

The recursive equation is:
1
=
m
X
r
i
i
( ) N n n i m x x x
n i i i
,..., 2 , 1 , mod
1
+ + = + =

Kleber Barcia V.
Chapter 2
17
Additive congruential algorithm
Example:

x
1
=65, x
2
= 89, x
3
= 98, x
4
= 03, x
5
= 69, m = 100

x
6
=(x
5
+x
1
)mod100 = (69+65)mod100 = 34 r
6
= 34/99 = 0.3434
x
7
=(x
6
+x
2
)mod100 = (34+89)mod100 = 23 r
7
= 23/99 = 0.2323
x
8
=(x
7
+x
3
)mod100 = (23+98)mod100 = 21 r
8
= 21/99 = 0.2121
x
9
=(x
8
+x
4
)mod100 = (21+03)mod100 = 24 r
9
= 24/99 = 0.2424
x
10
=(x
9
+x
5
)mod100 = (24+69)mod100 = 93 r
10
= 93/99 = 0.9393
x
11
=(x
10
+x
6
)mod100 = (93+34)mod100 = 27 r
11
= 27/99 = 0.2727
x
12
=(x
11
+x
7
)mod100 = (27+23)mod100 = 50 r
12
= 50/99 = 0.5050
Kleber Barcia V.
Chapter 2
18
Congruential non-linear algorithms
Quadratic:



Conditions to achieve a maximum period N = m
m = 2
g

g must be integer
a must be an even number
c must be an odd number
(b-a)mod4 = 1
1
1

=
+
m
X
r
i
i
( ) ( ) N i m c bx ax x
i
,..., 3 , 2 , 1 , 0 mod
2
1
= + + =
+
Kleber Barcia V.
Chapter 2
19
Congruential non-linear algorithms (quadratic)
Example:

x
0
= 13, m = 8, a = 26, b = 27, c = 27
x
1
= (26*13
2
+27*13+27)mod 8 = 4
x
2
= (26*4
2
+27*4+27)mod 8 = 7
x
3
= (26*7
2
+27*7+27)mod 8 = 2
x
4
= (26*2
2
+27*2+27)mod 8 = 1
x
5
= (26*1
2
+27*1+27)mod 8 = 0
x
6
= (26*0
2
+27*0+27)mod 8 = 3
x
7
= (26*3
2
+27*3+27)mod 8 =6
x
8
= (26*6
2
+27*6+27)mod 8 = 5
x
9
= (26*5
2
+27*5+27)mod 8 = 4
( ) ( ) N i m c bx ax x
i
,..., 3 , 2 , 1 , 0 mod
2
1
= + + =
+
Kleber Barcia V.
Chapter 2
20
Congruential non-linear algorithms
Algorithm Blum, Blumy Shub

It occurs when Quadratic is:

a = 1
b = 0
c = 0

( ) ( ) n i m x x
i i
,..., 3 , 2 , 1 , 0 mod
2
1
= =
+
Kleber Barcia V.
Chapter 2
21
Characteristics of a good generator
Maximum Density
Such that the values assumed by R
i
, i = 1,2,, leave no large
gaps on [0,1]
Problem: Instead of continuous, each R
i
is discrete
Solution: a very large integer for modulus m

Maximum Period
To achieve maximum density and avoid cycling.
Achieve by: proper choice of a, c, m, and X
0
.
Most digital computers use a binary representation of
numbers
Speed and efficiency depend on the modulus, m, to be (or close
to) 2
b
a big number
Rev. 1
Kleber Barcia V.
Chapter 2
22
Tests for Random Numbers
Two categories:
Testing for uniformity:
H
0
: R
i
~ U[0,1]
H
1
: R
i
~ U[0,1]
Test for independence:
H
0
: R
i
~ independently
H
1
: R
i
~ independently
Mean test
H
0
:
ri
= 0.5
H
1
:
ri
= 0.5
We can use the normal distribution with
2
= 1/12
or = 0.2887 with a significance level = 0.05
/
/
/
Kleber Barcia V.
Chapter 2
23
Tests for Random Numbers
When to use these tests:
If a well-known simulation languages or random-number
generators is used, it is probably unnecessary to test
If the generator is not explicitly known or documented, e.g.,
spreadsheet programs, symbolic/numerical calculators, tests
should be applied to the sample numbers.
Types of tests:
Theoretical tests: evaluate the choices of m, a, and c without
actually generating any numbers
Empirical tests: applied to actual sequences of numbers
produced. Our emphasis.

Rev. 1
Kleber Barcia V.
Chapter 2
24
Kolmogorov-Smirnov test [Uniformity Test]
Very useful for little data.
For discrete and continuous variables.

Procedure:
1. Arrange the r
i
from lowest to highest
2. Determine D
+
, D
-

3. Determine D
4. Determine the critical value of D
, n
5. If D> D
, n
then r
i
are not uniform
Kleber Barcia V.
Chapter 2
25
Kolmogorov-Smirnov test [Uniformity Test]
Example: Suppose that 5 generated numbers are 0.44,
0.81, 0.14, 0.05, 0.93.
Step 1:
Step 2:
Step 3: D =max(D
+
, D
-
) =0.26
Step 4: For o =0.05,
D
o, n
=0.565 >D

So not reject H
0
.
Sort R (i) Ascending
D
+
= max {i/N R
(i)
}
D
-
= max {R
(i)
- (i-1)/N}
R
(i)
0.05 0.14 0.44 0.81 0.93
i/N 0.20 0.40 0.60 0.80 1.00
i/N R
(i)
0.15 0.26 0.16 - 0.07
R
(i)
(i-1)/N 0.05 - 0.04 0.21 0.13
Kleber Barcia V.
Chapter 2
26
Chi-square test [Uniformity Test]
The Chi-square test uses the statistical sample:




Approximately the chi-square distribution with n-1 degrees of
freedom is tabulated in Table A.6
For a uniform distribution, the expected number E
i
, in each class
is:


Valid only for large samples, example: N> = 50
If X
0
2
>X
2
(; n-1)
reject the hypothesis of uniformity

= X
n
i
i
i i
E
E O
1
2
2
0
) (
n observatio of # total the is N where ,
n
N
E
i
=
n is the # of classes
O
i
is the observed # of
the class i
th

E
i
is the expected # of
the class i
th

Kleber Barcia V.
Chapter 2
27
Chi-square test [Uniformity Test]
Example: Use Chi-square with o = 0.05 to test that the data shown
are uniformly distributed









The test uses n = 10 intervals of equal length:

[0, 0.1), [0.1, 0.2), , [0.9, 1.0)
0.34 0.90 0.25 0.89 0.87 0.44 0.12 0.21 0.46 0.67
0.83 0.76 0.79 0.64 0.70 0.81 0.94 0.74 0.22 0.74
0.96 0.99 0.77 0.67 0.56 0.41 0.52 0.73 0.99 0.02
0.47 0.30 0.17 0.82 0.56 0.05 0.45 0.31 0.78 0.05
0.79 0.71 0.23 0.19 0.82 0.93 0.65 0.37 0.39 0.42
0.99 0.17 0.99 0.46 0.05 0.66 0.10 0.42 0.18 0.49
0.37 0.51 0.54 0.01 0.81 0.28 0.69 0.34 0.75 0.49
0.72 0.43 0.56 0.97 0.30 0.94 0.96 0.58 0.73 0.05
0.06 0.39 0.84 0.24 0.40 0.64 0.40 0.19 0.79 0.62
0.18 0.26 0.97 0.88 0.64 0.47 0.60 0.11 0.29 0.78
Kleber Barcia V.
Chapter 2
28
Chi-square test [Uniformity Test]
The X
0
2
value = 3.4
Compared to the value of Table A.6, X
2
0.05, 9
= 16.9
Then H
0
is not rejected.
Intervalo O
i
E
i
O
i
-E
i
(O
i
-E
i
)
2
(O
i
-E
i
)
2
E
i
1 8 10 -2 4 0.4
2 8 10 -2 4 0.4
3 10 10 0 0 0.0
4 9 10 -1 1 0.1
5 12 10 2 4 0.4
6 8 10 -2 4 0.4
7 10 10 0 0 0.0
8 14 10 4 16 1.6
9 10 10 0 0 0.0
10 11
100
10
100
1
0
1 0.1
3.4
Kleber Barcia V.
Chapter 2
29
Tests for Autocorrelation [Test of Independence]
It is a test between each m numbers, starting with the
number i
The auto-correlation
im
between the numbers R
i
, R
i+m
, R
i+2m
,
R
i+(M+1)m

M is the largest integer such that, , where N is
the total number of values in the sequence
Hypothesis:



If the values are not correlated:
For large values of M, the distribution estimation
im
, is
approximately a normal distribution.
N )m (M i s + + 1
t independen NOT are numbers , 0 :
, 0 :
1
0
t independen are numbers
=
=
im
im
H
H

Kleber Barcia V.
Chapter 2
30
Tests for Autocorrelation [Test of Independence]
The statistical test is:


Z
0
is distributed normally with mean = 0 and variance = 1, and:






If
im
> 0, the subsequence has positive autocorrelation
High random numbers tend to be followed by high ones, and vice versa.
If
im
< 0, the subsequence has negative autocorrelation
Low random numbers tend to be followed by high ones, and vice versa.
im
im
Z

=
) (M
M

. R R
M

im

M
k
)m (k i km i im
1 12
7 13

25 0
1
1

0
1
+
+
=

+
=

=
+ + +
Kleber Barcia V.
Chapter 2
31
Example [Test for autocorrelation]
Test if the 3
rd
, 8
th
, 13
th
and so on, are auto-correlated.
Use o = 0.05

Then i = 3, m = 5, N = 30










Then M = 4
0.12 0.01 0.23 0.28 0.89 0.31 0.64 0.28 0.83 0.93
0.99 0.15 0.33 0.35 0.91 0.41 0.60 0.27 0.75 0.88
0.68 0.49 0.05 0.43 0.95 0.58 0.19 0.36 0.69 0.87
( )
30 28
30 5 1 4 3
1
s
s + +
s + + N )m (M i
Kleber Barcia V.
Chapter 2
32
Example [Test for autocorrelation]
From Table A.3, z
0.025
= 1.96. then the hypothesis is not
rejected.
516 . 1
1280 . 0
1945 . 0
128 . 0
1 4 12
7 ) 4 ( 13

1945 . 0
25 0
) 36 . 0 )( 05 . 0 ( ) 05 . 0 )( 27 . 0 (
) 27 . 0 )( 33 . 0 ( ) 33 . 0 )( 28 . 0 ( ) 28 . 0 )( 23 . 0 (
1 4
1

0
35
35
= =
=
+
+
=
=

(
(

+ +
+ +
+
=
Z
) (

Kleber Barcia V.
Chapter 2
33
Other tests of Independence
Test runs up and down
Test runs up and below the mean
Test poker
Test series
Test holes

-----HOMEWORK 3 at SIDWeb-----

Bonus: (3 points for the partial exam)

Write a computer program that generates random numbers (4 digits)
using the Multiplicative Congruential Algorithm. Allow user to enter
values x
0
, k, g

Give an example printed and the program file
Kleber Barcia V.
Chapter 2
34
Understand how to generate random variables
from a specific distribution as inputs of a
simulation model.

Illustrate some widely used techniques for
generating random variables.
Inverse-transform technique
Acceptance- rejection technique
2. Objectives. Random Variables
Kleber Barcia V.
Chapter 2
35
Inverse-transform technique
It can be used to generate random variables from an
exponential distribution, uniform, Weibull, triangular and
empirical distribution.
Concept:
For cdf function: r = F(x)
Generate r (0,1)
Find x:

x = F
-1
(r)
r
1
x
1
r = F(x)
Kleber Barcia V.
Chapter 2
36
Exponential Distribution [inverse-transform]
The exponential cdf:







To generate X
1
, X
2
, X
3

r = F(x)
r = 1 e
-x
for x > 0
X
i
= F
-1
(r
i
)
= -(1/) ln(1-r
i
)
= -(1/) ln(r
i
)
Figure: Inverse-transform
technique for exp ( = 1)
) 1 ln(
1

) 1 ln(
1
r X
r X
r e
X
=
=
=

Kleber Barcia V.
Chapter 2
37
Table of Distributions [inverse-transform]
Distribution Cumulative Inverse-Transform
Uniform
Weibull
Triangular
Normal
( )
( )
( )
b x a
a b
a x
x F s s

=
( )
( )
0 1 > =

x e x F
x
|
o
( )
( )
( )
2 1
2
2
1
1 0
2
2
2
s s

=
s s =
x
x
x F
x
x
x F
( )
i i
r a b a x + =
( ) | |
|
o
1
1 ln r x =
( ) 1
2
1
1 2 2
2
1
0 2
s s =
s s =
r r x
r r x
o z x + =
Kleber Barcia V.
Chapter 2
38
Exponential Distribution [inverse-transform]
Example: Generate 200 variables Xi with exponential distribution
( = 1)





The histograms of r
i
and x
i
are:
Uniform distribution Exponential distribution
i 1 2 3 4 5
Ri 0.1306 0.0422 0.6597 0.7965 0.7696
Xi 0.1400 0.0431 1.078 1.592 1.468
Kleber Barcia V.
Chapter 2
39
Uniform Distribution [Example]
The temperature of an oven
behaves uniformly within the
range of 95 to 100 C.
Modeling the behavior of the
temperature.
( )
i i
r a b a x + =
Measurements r
i
Temperature
o
C
1 0.48 95+5*0.48=97.40
2 0.82 99.10
3 0.69 98.45
4 0.67 98.35
5 0.00 95.00
Kleber Barcia V.
Chapter 2
40
Exponential Distribution [Example]
Historical data service time a Bank
behaves exponentially with an
average of 3 min / customer.
Simulate the behavior of this
random variable
Customer r
i
Service Time(min)
1 0.36 3.06
2 0.17 5.31
3 0.97 0.09
4 0.50 2.07
5 0.21 0.70
( )
i i
r x = 1 ln 3
Kleber Barcia V.
Chapter 2
41
Poisson Distribution [Example]
The number of pieces entering a production system
follows a Poisson distribution with mean 2 pcs/hour.
Simulate the arrival behavior of the pieces to the system.
x P(x)

F(x) Random digits
0 0.1353 0.1353 0-0.1353
1 0.2706 0.4060 0.1353-0.4060
2 0.2706 0.6766 0.4060-0.6766
3 0.1804 0.8571 0.6766-0.8571
4 0.0902 0.9473 0.8571-0.9473
5 0.0369 0.9834 0.9473-0.9834
6 0.0120 0.9954 0.9834-0.9954
7 0.0034 0.9989 0.9954-0.9989
8 0.0008 0.9997 0.9989-0.9997
9 0.0001 0.9999 0.9997-0.9999
10 0.00003 0.9999 0.9999-0.9999
Arrival
Time
r
i
Pieces/hour
1 0.6754 2
2 0.0234 0
3 0.7892 3
4 0.5134 2
5 0.3331 1
( )

=
= =
x
i
i
x
i
e
x F
x
x
e
x p
0
!
) (
,... 1 , 0 ,
!
o
o
o
o
Kleber Barcia V.
Chapter 2
42
Convolution Method
In some probability distributions, the random variable
can be generated by adding other random variables
Erlang Distribution
The sum of exponential variables of equal means
(1/)

Y = x
1
+x
2
++x
k
Y = (-1/k)ln(1-r
1
)+ (-1/k)ln(1-r
2
)++ (-1/k)ln(1-r
k
)

Where:
Y = Er
i
= (-1/k)ln(1-r
i
) The factor productoria
Kleber Barcia V.
Chapter 2
43
Convolution Method
The processing time of certain machine follows a 3-
erlang distribution with mean 1/ = 8 min/piece

Y = -(8/3)[ln(1-r
i
)] = -(8/3)ln[(1-r
1
) (1-r
2
) (1-r
3
)]
Piece 1-r
1
1-r
2
1-r
3
Process Time
1 0.28 0.52 0.64 6.328
2 0.96 0.37 0.83 3.257
3 0. 04 0.12 0.03 23.588
4 0.35 0.44 0.50 6.837
5 0.77 0.09 0.21 11.279
Kleber Barcia V.
Chapter 2
44
Empirical continuous distribution [inverse-transform]
When theoretical distribution is not applicable
To collect empirical data:
Resample the observed data
Interpolate between observed data points to fill in the gaps
For a small sample set (size n):
Arrange the data from smallest to largest


Assign the probability 1/n to each interval



Where 1 / n is the probability

(n) (2) (1)
x x x s . s s
(i) 1) - (i
x x x s s
|
.
|

\
|

+ = =

n
i
R a x R F X
i i
) 1 (
) (

) 1 (
1
n
x x
n i n
x x
a
i i i i
i
/ 1 / ) 1 ( / 1
) 1 ( ) ( ) 1 ( ) (

=

=
Kleber Barcia V.
Chapter 2
45
Empirical continuous distribution [inverse-transform]
Example: Suppose that the observed data of 100 repair times of a machine
are:

i
Interval
(Hours) Frecuency
Relative
Frecuency
Cumulative
Frecuencia, c
i
Slot, a
i
1 0.25 x 0.5 31 0.31 0.31 0.81
2 0.5 x 1.0 10 0.10 0.41 5.0
3 1.0 x 1.5 25 0.25 0.66 2.0
4 1.5 x 2.0 34 0.34 1.00 1.47
Consider r
1
= 0.83:

c
3
= 0.66 < r
1
< c
4
= 1.00

X
1
= x
(4-1)
+ a
4
(r
1
c
(4-1)
)
= 1.5 + 1.47(0.83-0.66)
= 1.75
Kleber Barcia V.
Chapter 2
46
Empirical Discrete Distribution
Example: Suppose the number of shipments, x, on the
loading dock of IHW company is either 0, 1, or 2
Data - Probability distribution:




Method - Given R, the generation
scheme becomes:
0 . 1 8 . 0
8 . 0 5 . 0
5 . 0
, 2
, 1
, 0
s <
s <
s

=
R
R
R
x
Consider R
1
= 0.73:
F(x
i-1
) < R <= F(x
i
)
F(x
0
) < 0.73 <= F(x
1
)
Hence, x
1
= 1
x p(x) F(x)
0 0.50 0.50
1 0.30 0.80
2 0.20 1.00
Rev. 1
Kleber Barcia V.
Chapter 2
47
Acceptance-Rejection technique
Useful particularly when inverse cdf does not exist in closed
form, a.k.a. thinning
To generate random variables X ~ U (1/4, 1) we must:







This procedure is only for uniform distributions
Acceptance-rejection technique is also applied to Poisson,
nonstationary Poisson, and gamma distributions
-----HOMEWORK 4 at SIDWeb-----
procedure :
Step 1. Generate R ~ U[0,1]
Step 2a. If R >= , accept X=R.
Step 2b. If R < , reject R,
back to step 1
Generate R
Condition
output R
si
no