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GENERATION
Chapter 9
Random Variate
A value being sampled from a proven
distribution of an input variable.
Examples such as inter-arrival time and
service time.
RV generators techniques used to generate
random variates.
Techniques in Generating
Random Variates
Inverse transform technique
Direct transformation for the normal
distribution
Convolution method
Acceptance and rejection technique
Uniform Distribution
1
,a x b
f ( x) b a
0 , otherwise
xi a (b a ) Ri
Triangular Distribution
x , a x b
f ( x ) c x , b x c
0 , otherwise
2 R ,0 R 2
x
2 2(1 R ) , 1 R 1
f ( x)
t 2
2
e dt - x
Z 2 (2 Ln( Ri ))
1/ 2
sin(2Ri )
And
X i Z i
Convolution Method
The probability distribution of a sum of two or more
independent random variables is called a convolution of the
distributions of the original variables.
The convolution method refers to adding together two or
more random variables to obtain a new random variable with
the desired distribution. This technique is useful for Erlang
and binomial variates.
For Erlang distribution:
K
1
1
X
ln Ri
Ln ( Ri )
K
i 1 K
i 1
K
Example of Acceptance
Rejection Technique
Generate uniformly distributed random
variates [1/4,1]:
STEP 1: generate RN
STEP 2: if RN > or = , accept, let X=RN. If
RN < , reject and return to 1.
STEP 3:if another uniform random Variate on
[1/4,1] is needed, go to step 1.