A Method of Generating Random Vectors with a Given Probability Density Function

B. S. Darkhovsky; Yu. S. Popkov; A. Yu. Popkov; A. S. Aliev

doi:10.1134/S0005117918090035

A Method of Generating Random Vectors with a Given Probability Density Function

作者: Darkhovsky B.S.¹, Popkov Y.S.¹^,2, Popkov A.Y.¹^,3, Aliev A.S.¹
隶属关系:
1. Institute for Systems Analysis
2. Braude College of Haifa University
3. Peoples’ Friendship University (RUDN University)
期: 卷 79, 编号 9 (2018)
页面: 1569-1581
栏目: Stochastic Systems
URL: https://journals.rcsi.science/0005-1179/article/view/151004
DOI: https://doi.org/10.1134/S0005117918090035
ID: 151004

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详细

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.