umontreal.iro.lecuyer.randvar
Class InverseFromDensityGen

java.lang.Object
  umontreal.iro.lecuyer.randvar.RandomVariateGen
      umontreal.iro.lecuyer.randvar.InverseFromDensityGen

public class InverseFromDensityGen
extends RandomVariateGen

Implements a method for generating random variates by numerical inversion of an arbitrary continuous distribution when only the probability density is known. The cumulative probabilities (cdf) are pre-computed by numerical quadrature of the density using Gauss-Lobatto integration over suitably small intervals to satisfy the required precision, and these values are kept in tables. Then the algorithm uses polynomial interpolation over the tabulated values to get the inverse cdf. The user can select the desired precision and the degree of the interpolating polynomials.

The algorithm may fail for some distributions for which the density becomes infinite at a point (for ex. the Gamma and the Beta distributions with α < 1) if one requires too high a precision (a too small eps, for ex. ε∼10^-15). However, it should work also for continuous densities with finite discontinuities.

While the setup time is relatively slow, the generation of random variables is extremely fast and practically independent of the required precision and of the specific distribution. The following table shows the time needed (in seconds) to generate 10⁸ random numbers using inversion from a given class, then the numerical inversion with Gauss-Lobatto integration implemented here, and finally the speed ratios between the two methods. The speed ratio is the speed of the latter over the former. Thus for the beta distribution with parameters (5, 500), generating random variables with the Gauss-Lobatto integration implemented in this class is more than 1700 times faster than using inversion from the BetaDist class. These tests were made on a machine with processor AMD Athlon 4000, running Red Hat Linux, with clock speed at 2403 MHz.

Distribution	Inversion	Gauss-Lobatto	speed ratio
NormalDist(10.5, 5)	9.19	8.89	1.03
ExponentialDist(5)	17.72	8.82	2.0
CauchyDist(10.5, 5)	18.30	8.81	2.1
BetaSymmetricalDist(10.5)	242.80	8.85	27.4
GammaDist(55)	899.50	8.89	101
ChiSquareNoncentralDist(10.5, 5)	5326.90	8.85	602
BetaDist(5, 500)	15469.10	8.86	1746

The following table gives the time (in sec.) needed to create an object (setup time) and to generate one random variable for this class compared to the same for the inversion method specific to each class, and the ratios of the times (init + one random variable) of the two methods. For inversion, we initialized 10⁸ times; for this class, we initialized 10⁴ times.

Distribution	Inversion	Gauss-Lobatto	time ratio
	108 init	104 init	for 1 init
NormalDist(10.5, 5)	5.30	38.29	26426
ExponentialDist(5)	3.98	27.05	12466
CauchyDist(10.5, 5)	5.05	58.39	25007
BetaSymmetricalDist(10.5)	90.66	68.33	2049
GammaDist(55)	13.15	58.34	639
ChiSquareNoncentralDist(10.5, 5)	190.48	248.98	451
BetaDist(5, 500)	63.60	116.57	75

If only a few random variables are needed, then using this class is not efficient because of the slow set-up. But if one wants to generate large samples from the same distribution with fixed parameters, then this class will be very efficient. The following table gives the number of random variables generated beyond which, using this class will be worthwhile.

Distribution	number of generated variables
NormalDist(10.5, 5)	41665
ExponentialDist(5)	15266
CauchyDist(10.5, 5)	31907
BetaSymmetricalDist(10.5)	2814
GammaDist(55)	649
ChiSquareNoncentralDist(10.5, 5)	467
BetaDist(5, 500)	75

Thus, for example, if one needs to generate less than 15266 exponential random variables, then using the InverseFromDensityGen class is not wortwhile: it will be faster to use inversion from the ExponentialGen class.

Constructor Summary

InverseFromDensityGen(RandomStream stream, ContinuousDistribution dis, double xc, double eps, int order)
Creates a new generator for the continuous distribution dis, using stream stream.

InverseFromDensityGen(RandomStream stream, MathFunction dens, double xc, double eps, int order, double xleft, double xright)
Creates a new generator from the continuous probability density dens.

Method Summary

double	getEpsilon() Returns the u-resolution eps.
int	getOrder() Returns the order of the interpolating polynomial.
double	getXc() Returns the xc given in the constructor.
double	nextDouble() Generates a new random variate.

Methods inherited from class umontreal.iro.lecuyer.randvar.RandomVariateGen

getDistribution, getStream, nextArrayOfDouble, setStream, toString

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

InverseFromDensityGen

public InverseFromDensityGen(RandomStream stream,
                             ContinuousDistribution dis,
                             double xc,
                             double eps,
                             int order)

Creates a new generator for the continuous distribution dis, using stream stream. dis must have a well-defined density method; its other methods are unused. For a non-standard distribution dis, the user may wish to set the left and the right boundaries between which the density is non-zero by calling methods setXinf and setXsup of dis, for better efficiency. Argument xc can be the mean, the mode or any other x for which the density is relatively large. The u-resolution eps is the desired absolute error in the CDF, and order is the degree of the Newton interpolating polynomial over each interval. An order of 3 or 5, and an eps of 10^-6 to 10^-12 are usually good choices. Restrictions: 3 <= order <= 12.

InverseFromDensityGen

public InverseFromDensityGen(RandomStream stream,
                             MathFunction dens,
                             double xc,
                             double eps,
                             int order,
                             double xleft,
                             double xright)

Creates a new generator from the continuous probability density dens. The left and the right boundaries of the density are xleft and xright (the density is 0 outside the interval [xleft, xright]). See the description of the other constructor.

Method Detail

nextDouble

public double nextDouble()

Generates a new random variate.

Overrides:

nextDouble in class RandomVariateGen

Returns:

the generated value

getXc

public double getXc()

Returns the xc given in the constructor.

getEpsilon

public double getEpsilon()

Returns the u-resolution eps.

getOrder

public int getOrder()

Returns the order of the interpolating polynomial.