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Automation and Remote Control

, Volume 79, Issue 9, pp 1569–1581 | Cite as

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

  • B. S. Darkhovsky
  • Yu. S. Popkov
  • A. Yu. Popkov
  • A. S. Aliev
Stochastic Systems
  • 14 Downloads

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.

Keywords

random vector generation Metropolis–Hastings algorithm 

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Copyright information

© Pleiades Publishing, Ltd. 2018

Authors and Affiliations

  • B. S. Darkhovsky
    • 1
  • Yu. S. Popkov
    • 1
    • 2
  • A. Yu. Popkov
    • 1
    • 3
  • A. S. Aliev
    • 1
  1. 1.Institute for Systems AnalysisRussian Academy of SciencesMoscowRussia
  2. 2.Braude College of Haifa UniversityKarmielIsrael
  3. 3.Peoples’ Friendship University (RUDN University)MoscowRussia

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