Journal of Mathematical Sciences (United States).
Springer New York LLC.
Vol. 233.
2018.
P. 930-948
A Method of Generating Random Vectors with a Given Probability Density Function
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. © 2018, Pleiades Publishing, Ltd.
Authors
Darkhovsky B.S.1
,
Popkov Y.S.1,
2
,
Popkov A.Y.
1,
3
,
Aliev A.S.1
Journal
Publisher
Maik Nauka Publishing / Springer SBM
Number of issue
9
Language
English
Pages
1569-1581
Status
Published
Link
Volume
79
Year
2018
Organizations
- 1 Institute for Systems Analysis, Russian Academy of Sciences, Moscow, Russian Federation
- 2 Braude College of Haifa University, Karmiel, Israel
- 3 Peoples’ Friendship University (RUDN University), Moscow, Russian Federation
Keywords
Metropolis–Hastings algorithm; random vector generation
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Other records
Results in Mathematics.
Birkhauser Verlag AG.
Vol. 73.
2018.