Interval algorithm for random number generation

Author

Te Sun Hao ; Hoshi, Mamoru

Author_Institution

Sch. of Inf. Syst., Univ. of Electro-Commun., Tokyo, Japan

Volume

43

Issue

2

fYear

1997

fDate

3/1/1997 12:00:00 AM

Firstpage

599

Lastpage

611

Abstract

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

Keywords

Markov processes; arithmetic codes; deterministic algorithms; entropy; probability; random number generation; Markov sequence; arbitrary probability distribution; arbitrary stochastic processes; deterministic algorithm; efficiency; general biased M-coin; i.i.d sequence; independent and identically distributed sequence; input sequence; interval algorithm; output sequence; random number generation; unit interval; upper bound; Arithmetic; Entropy; Markov processes; Partitioning algorithms; Probability distribution; Random number generation; Stochastic processes; Sun; Tellurium; Upper bound;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/18.556116

Filename

556116