Enviar artigo por via de e-mail A Method of Generating Random Vectors with a Given Probability Density Function
- Autores: Darkhovsky B.S.1, Popkov Y.S.1,2, Popkov A.Y.1,3, Aliev A.S.1
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Afiliações:
- Institute for Systems Analysis
- Braude College of Haifa University
- Peoples’ Friendship University (RUDN University)
- Edição: Volume 79, Nº 9 (2018)
- Páginas: 1569-1581
- Seção: Stochastic Systems
- URL: https://ogarev-online.ru/0005-1179/article/view/151004
- DOI: https://doi.org/10.1134/S0005117918090035
- ID: 151004
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Resumo
We propose a method for generating random independent vectors that have a given continuous distribution density with compact support. The main advantage of the proposed method are guaranteed estimates of the error in the generation of random vectors. We show an illustrative experimental comparison of the proposed method with the Metropolis-Hastings algorithm.
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Sobre autores
B. Darkhovsky
Institute for Systems Analysis
Autor responsável pela correspondência
Email: darbor2004@mail.ru
Rússia, Moscow
Yu. Popkov
Institute for Systems Analysis; Braude College of Haifa University
Email: darbor2004@mail.ru
Rússia, Moscow; Karmiel
A. Popkov
Institute for Systems Analysis; Peoples’ Friendship University (RUDN University)
Email: darbor2004@mail.ru
Rússia, Moscow; Moscow
A. Aliev
Institute for Systems Analysis
Email: darbor2004@mail.ru
Rússia, Moscow
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