Email this article A Method of Generating Random Vectors with a Given Probability Density Function
- Authors: Darkhovsky B.S.1, Popkov Y.S.1,2, Popkov A.Y.1,3, Aliev A.S.1
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Affiliations:
- Institute for Systems Analysis
- Braude College of Haifa University
- Peoples’ Friendship University (RUDN University)
- Issue: Vol 79, No 9 (2018)
- Pages: 1569-1581
- Section: 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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Abstract
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.
About the authors
B. S. Darkhovsky
Institute for Systems Analysis
Author for correspondence.
Email: darbor2004@mail.ru
Russian Federation, Moscow
Yu. S. Popkov
Institute for Systems Analysis; Braude College of Haifa University
Email: darbor2004@mail.ru
Russian Federation, Moscow; Karmiel
A. Yu. Popkov
Institute for Systems Analysis; Peoples’ Friendship University (RUDN University)
Email: darbor2004@mail.ru
Russian Federation, Moscow; Moscow
A. S. Aliev
Institute for Systems Analysis
Email: darbor2004@mail.ru
Russian Federation, Moscow
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