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

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Abstract

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.

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Authors and Affiliations

  1. Institute for Systems Analysis, Russian Academy of Sciences, Moscow, Russia

    B. S. Darkhovsky, Yu. S. Popkov, A. Yu. Popkov & A. S. Aliev

  2. Braude College of Haifa University, Karmiel, Israel

    Yu. S. Popkov

  3. Peoples’ Friendship University (RUDN University), Moscow, Russia

    A. Yu. Popkov

Authors
  1. B. S. Darkhovsky
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  2. Yu. S. Popkov
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  3. A. Yu. Popkov
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  4. A. S. Aliev
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Corresponding author

Correspondence to B. S. Darkhovsky.

Additional information

Original Russian Text © B.S. Darkhovsky, Yu.S. Popkov, A.Yu. Popkov, A.S. Aliev, 2018, published in Avtomatika i Telemekhanika, 2018, No. 9, pp. 31–45.

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Darkhovsky, B.S., Popkov, Y.S., Popkov, A.Y. et al. A Method of Generating Random Vectors with a Given Probability Density Function. Autom Remote Control 79, 1569–1581 (2018). https://doi.org/10.1134/S0005117918090035

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  • DOI: https://doi.org/10.1134/S0005117918090035

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