I have a probability distribution function that I don't have its analytical form (so I can't determine its CDF). How can I generate random numbers based on this distribution function? I'm looking for a way that is similar to that of using CDF.
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$\begingroup$ What form do you have the pdf in? Can you evaluate the pdf at desired points? What’s the dimension? $\endgroup$– Brian BorchersApr 12, 2018 at 4:06
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$\begingroup$ Actually, we don't have its analytic form but we can evaluate its value wherever we want. It's one dimensional. $\endgroup$– Pourya VakilipourtakalouApr 12, 2018 at 21:12
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2 Answers
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Your goal is to obtain the inverse function.
Given the probability distribution $\rho(x)$ you are looking for the point $y$ such that the cumulative probability up to this point coincides with the result of a uniform distribution $U$ (you are converting a uniform distribution into your own distribution).
Therefore you have:
$$ \int_{-\infty}^y \rho(x)\,dx=U$$
The value $y$ can be obtained iteratively, for example, using Newton Raphson method:
$$y^{n+1}=y^n-\frac{\int_{-\infty}^{y^n} \rho(x)\,dx-U}{\rho(y^n)}$$
The resulting $y$ series will be arranged with a probability according to your distribution given the pair $(U,y)$ obtained from each uniform evaluation $U\rightarrow y$.
What is more, you must solve the integrals with numerical methods since you have no analytic expression for the density.
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$\begingroup$ Actually, it wold take a lot of time to do this, I mean computationally it's not efficient since for evaluating the integral numerically, I need to do another MC integration which makes me face the same problem. $\endgroup$ Apr 12, 2018 at 21:13
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$\begingroup$ If the dimension of $x$ is low, then evaluating the integral numerically is probably a good way to go. If not, then a Markov Chain Monte Carlo method is probably best. $\endgroup$ Apr 12, 2018 at 21:46
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That is exactly what the Monte Carlo method is designed to do. One example of a method to draw samples from your distribution is the Metropolis-Hastings sampler.
answered Apr 10, 2018 at 7:11