Random Variate Generation课件.pptVIP

Random Variate Generation (cont.) Empirical and theoretical distribution functions, for repair time data (X 3 0) 精品文档 Random Variate Generation (cont.) The inverse transform technique applies directly to generating repair time variates, X. Recalling the graphical interpretation of the technique, first generate a random number R1, say R1 = 0.83, and read X1 off the graph of next slide. Symbolically, this is written as X1 = F-1(R1) but algebraically, since R1 is between 0.66 and 1.00, X1 is computed by a linear interpolation between 1.5 and 2.0; that is 精品文档 Random Variate Generation (cont.) Generating variates from the empirical distribution function for repair time data (X 3 0.25) 精品文档 Random Variate Generation (cont.) X1 = 1.5 + {(R1 - 0.66) / (1 - 0.66)} × (2.0 - 1.5) = 1.75 When R1 = 0.83, note that (R1 - 0.66) / (1 - 0.66) = 0.5, so that X1 will be one-half of the distance between 1.5 and 2.0 since R1 is one-half of the way between 0.66 and 1.00 精品文档 Random Variate Generation (cont.) The slopes of the four line segments are given in the next slide and in the following table, which can be used to generate variates, X, as follows. i Input, ri Outut, xi Slope, ai 1 0 0.25 0.81 2 0.31 0.5 5.0 3 0.41 1.0 2.0 4 0.66 1.5 1.47 5 1.00 2.0 --- Intervals and Slopes for generating repair times, X 精品文档 Random Variate Generation (cont.) Inverse CDF of repair times 精品文档 Random Variate Generation (cont.) Step 1. Generate R Step 2. Find the interval i in which R lies; that is, find i so that ri ￡ R ￡ ri+1 Step 3. Compute X by X = xi + ai (R - ri) 精品文档 Direct Transformation for the Normal Distribution Polar representation of a pair of standard normal variables Standard Normal Distribution F(x) = òx-￥ {1/ (?2p)} × dt, -￥ x ￥ 精品文档 Direct Transformation for the Normal Distribution (cont.) Z1 = B cosq and Z2 = B sinq. It is known that B2 = + has the chi-square distribution with 2 degree of freedom, which is