urdgt: UNU.RAN discrete random variate generator

In Runuran: R Interface to the 'UNU.RAN' Random Variate Generators

UNU.RAN discrete random variate generator

Description

UNU.RAN random variate generator for discrete distributions with given probability vector. It applies the Guide-Table Method (urdgt) for discrete inversion or the Alias-Urn Method (urdau).

[ Deprecated. Use dgt.new or dau.new instead. ]

Usage

urdgt(n, probvector, from = 0, by = 1)
urdau(n, probvector, from = 0, by = 1)

Arguments

n	size of required sample.
probvector	vector of non-negative numbers (need not sum to 1).
from	number corresponding to the first probability in probvector.
by	"from + (k-1)*by" is the number corresponding to the k-th probability in probvector.

Details

These routines generate a sample of discrete random variates with given probability vector. This vector must be provided by probvector, a vector of non-negative numbers which need not necessarily sum up to 1.

Method ‘DGT’ uses a guide-table based inversion method.

Method ‘DAU’ implements the Alias-Urn method.

Both methods run in constant time, i.e., the marginal sampling times do not depend on the length of the given probability vector. Whereas their setup times grow linearly with this length.

Note

urdgt() and urdau() are very fast for probvector not longer than about 1000.

Author(s)

Josef Leydold and Wolfgang H\"ormann [e-mail].

References

W. H\"ormann, J. Leydold, and G. Derflinger (2004): Automatic Nonuniform Random Variate Generation. Springer-Verlag, Berlin Heidelberg.

H.C. Chen and Y. Asau (1974): On generating random variates from an empirical distribution. AIIE Trans. 6, pp.163–166.

A.J. Walker (1977): An efficient method for generating discrete random variables with general distributions. ACM Trans. Model. Comput. Simul. 3, pp.253–256.

See Also

dau.new, dgt.new, and ur for replacement.

Runuran documentation built on Jan. 17, 2023, 5:17 p.m.