util-rejectalgo: Rejection method for random generation.

In GNE: Computation of Generalized Nash Equilibria

Rejection method for random generation.

Description

Generate random variate satisfying the constraint function by the Rejection algorithm.

Usage

rejection(constr, nvars, LB=0, UB=1, ..., echo=FALSE, 
	method=c("unif","norm", "normcap"), control=list())

Arguments

constr	Constraint function
nvars	Number of variables
LB	Lower bound
UB	Upper bound
...	further arguments to pass to constr function.
echo	a logical to plot traces.
method	the distribution to draw random variates, either "unif", "norm", "normcap".
control	a named list containing the mean and the standard deviation of the normal distribution used if method!="unif".

Details

Draw random variates x until all the components of constr(x) are negative. The distribution to draw random variates can be the uniform distribution on the hypercube defined by LB and UB, the normal distribution centered in (LB + UB)/2 and standard deviation (UB - LB) / (4*1.9600) and the capped normal distribution (intended for debug use).

Value

A vector x which verifies the constraints constr(x) <= 0.

Author(s)

Christophe Dutang

See Also

See also GNE.

Examples

f <- function(x) x[1]^2 + x[2]^2 - 1

rejection(f, 2, -3, 3, method="unif")

rejection(f, 2, -3, 3, method="norm")

GNE documentation built on March 31, 2023, 9:25 p.m.