Interval algorithm for random number generation

The problem of generating a random number with an arbitrary probability distribution by using a general biased M-coin is studied. An efficient and very simple algorithm based on the successive refinement of partitions of the unit interval (0, 1), which we call the interval algorithm, is proposed. A...

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Vydáno v:IEEE transactions on information theory Ročník 43; číslo 2; s. 599 - 611
Hlavní autoři: Te Sun Hao, Hoshi, M.
Médium: Journal Article
Jazyk:angličtina
Vydáno: New York IEEE 01.03.1997
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Témata:
Algorithms
Arithmetic
Entropy
Information processing
Markov processes
Numbers
Partitioning algorithms
Probability distribution
Random number generation
Stochastic processes
Sun
Tellurium
Upper bound
ISSN:0018-9448, 1557-9654
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Shrnutí:The problem of generating a random number with an arbitrary probability distribution by using a general biased M-coin is studied. An efficient and very simple algorithm based on the successive refinement of partitions of the unit interval (0, 1), which we call the interval algorithm, is proposed. A fairly tight evaluation on the efficiency is given. Generalizations of the interval algorithm to the following cases are investigated: (1) output sequence is independent and identically distributed (i.i.d.); (2) output sequence is Markov; (3) input sequence is Markov; (4) input sequence and output sequence are both subject to arbitrary stochastic processes.
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ISSN:0018-9448
1557-9654
DOI:10.1109/18.556116