Fast Algorithms for Generating Discrete Random Variates With Changing Distributions

One of the most fundamental and frequently used operations in the process of simulating a stochastic discrete event system is the generation of a nonuniform discrete random variate. The simplest form of this operation can be stated as follows: Generate a random variable X which is distributed over the integers 1,2,...,n such that P(X = i) = pi. A more difficult problem is to generate X when the pi\u27s change with time. For this case, there is a well-known algorithm which takes O(log n) time to generate each variate. Recently Fox [4] presented an algorithm that takes an expected o(log n) time to generate each variate under assumptions restricting the way the pi\u27s can change. In this paper we present algorithm for discrete random variate generation that take an expected O(1) time to generate each variate. Furthermore, our assumptions on how the pi\u27s change are less restrictive than those of Fox. The algorithms are quite simple and can be fine-tuned to suit a wide variety of application. The application to the simulation of queueing networks is discussed in some detail

Spatially Adaptive Stochastic Multigrid Methods for Fluid-Structure Systems with Thermal Fluctuations

In microscopic mechanical systems interactions between elastic structures are often mediated by the hydrodynamics of a solvent fluid. At microscopic scales the elastic structures are also subject to thermal fluctuations. Stochastic numerical methods are developed based on multigrid which allow for the efficient computation of both the hydrodynamic interactions in the presence of walls and the thermal fluctuations. The presented stochastic multigrid approach provides efficient real-space numerical methods for generating the required stochastic driving fields with long-range correlations consistent with statistical mechanics. The presented approach also allows for the use of spatially adaptive meshes in resolving the hydrodynamic interactions. Numerical results are presented which show the methods perform in practice with a computational complexity of O(N log(N))

Dynamic Sampling from a Discrete Probability Distribution with a Known Distribution of Rates

In this paper, we consider a number of efficient data structures for the problem of sampling from a dynamically changing discrete probability distribution, where some prior information is known on the distribution of the rates, in particular the maximum and minimum rate, and where the number of possible outcomes N is large. We consider three basic data structures, the Acceptance-Rejection method, the Complete Binary Tree and the Alias Method. These can be used as building blocks in a multi-level data structure, where at each of the levels, one of the basic data structures can be used. Depending on assumptions on the distribution of the rates of outcomes, different combinations of the basic structures can be used. We prove that for particular data structures the expected time of sampling and update is constant, when the rates follow a non-decreasing distribution, log-uniform distribution or an inverse polynomial distribution, and show that for any distribution, an expected time of sampling and update of $O\left(\log\log{r_{max}}/{r_{min}}\right)$ is possible, where $r_{max}$ is the maximum rate and $r_{min}$ the minimum rate. We also present an experimental verification, highlighting the limits given by the constraints of a real-life setting

Methods for generating variates from probability distributions

This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Diverse probabilistic results are used in the design of random univariate generators. General methods based on these are classified and relevant theoretical properties derived. This is followed by a comparative review of specific algorithms currently available for continuous and discrete univariate distributions. A need for a Zeta generator is established, and two new methods, based on inversion and rejection with a truncated Pareto envelope respectively are developed and compared. The paucity of algorithms for multivariate generation motivates a classification of general methods, and in particular, a new method involving envelope rejection with a novel target distribution is proposed. A new method for generating first passage times in a Wiener Process is constructed. This is based on the ratio of two random numbers, and its performance is compared to an existing method for generating inverse Gaussian variates. New "hybrid" algorithms for Poisson and Negative Binomial distributions are constructed, using an Alias implementation, together with a Geometric tail procedure. These are shown to be robust, exact and fast for a wide range of parameter values. Significant modifications are made to Atkinson's Poisson generator (PA), and the resulting algorithm shown to be complementary to the hybrid method. A new method for Von Mises generation via a comparison of random numbers follows, and its performance compared to that of Best and Fisher's Wrapped Cauchy rejection method. Finally new methods are proposed for sampling from distribution tails, using optimally designed Exponential envelopes. Timings are given for Gamma and Normal tails, and in the latter case the performance is shown to be significantly better than Marsaglia's tail generation procedure.Governors of Dundee College of Technolog