Encyclopedia of Operations Research and Management Science

2001 Edition
| Editors: Saul I. Gass, Carl M. Harris

Probability integral transformation method

  • Saul I. Gass
  • Carl M. Harris
Reference work entry
DOI: https://doi.org/10.1007/1-4020-0611-X_804
A major method for creating random variates for simulation experiments, using the fact that the cumulative distribution function of a random variable has a uniform (0,1) distribution when it is itself considered to be a random function. The basic procedure for deriving the variate is as follows. Given the pseudo-random number z on the unit interval and the cumulative distribution function (CDF) F( x)of the random variable X, a random variate x can (theoretically) be generated by the formula
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Copyright information

© Kluwer Academic Publishers 2001

Authors and Affiliations

  • Saul I. Gass
    • 1
  • Carl M. Harris
    • 2
  1. 1.Robert H. Smith School of BusinessUniversity of MarylandCollege PartUSA
  2. 2.School of Information Technology & EngineeringGeorge Mason UniversityFairfaxUSA