dau.new: UNU.RAN generator based on the Alias method (DAU)

Description

UNU.RAN random variate generator for discrete distributions with given probability vector. It applies the Alias-Urn method (DAU).

[Universal] -- Patchwork Method.

Usage

dau.new(pv, from=1)

Arguments

vector of non-negative numbers (need not sum to 1). (numeric vector)

from

index of first entry in vector. (integer)

Details

This function creates a unuran object based on DAU (Discrete Alias-Urn method). It can be used to draw samples of a discrete random variate with given probability vector using ur. The probabilities must be provided by a vector pv which must contain non-negative numbers and which need not necessarily sum up to 1.

The method runs fast in constant time, i.e., marginal sampling times do not depend on the length of the given probability vector. Whereas their setup times grow linearly with this length. Notice that the range of random variates is from:(from+length(pv)-1).

References

W. H"ormann, J. Leydold, and G. Derflinger (2004): Automatic Nonuniform Random Variate Generation. Springer-Verlag, Berlin Heidelberg. See Section 3.2 (The Alias Method).

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

Examples

Run this code

## Create a sample of size 100 for a 
## binomial distribution with size=115, prob=0.5
gen <- dau.new(pv=dbinom(0:115,115,0.5), from=0)
x <- ur(gen,100)