Interval algorithm for random number generation

The problem of generating a random number with an arbitrary probability distribution by using a general biased M-coin is studied. An efficient and very simple algorithm based on the successive refinement of partitions of the unit interval (0, 1), which we call the interval algorithm, is proposed. A...

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Bibliographic Details
Published inIEEE transactions on information theory Vol. 43; no. 2; pp. 599 - 611
Main Authors Te Sun Hao, Hoshi, M.
Format Journal Article
LanguageEnglish
Published New York IEEE 01.03.1997
The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects
Algorithms
Arithmetic
Entropy
Information processing
Markov processes
Numbers
Partitioning algorithms
Probability distribution
Random number generation
Stochastic processes
Sun
Tellurium
Upper bound
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Summary:The problem of generating a random number with an arbitrary probability distribution by using a general biased M-coin is studied. An efficient and very simple algorithm based on the successive refinement of partitions of the unit interval (0, 1), which we call the interval algorithm, is proposed. A fairly tight evaluation on the efficiency is given. Generalizations of the interval algorithm to the following cases are investigated: (1) output sequence is independent and identically distributed (i.i.d.); (2) output sequence is Markov; (3) input sequence is Markov; (4) input sequence and output sequence are both subject to arbitrary stochastic processes.
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ISSN:0018-9448
1557-9654
DOI:10.1109/18.556116