Random-Variate Generation. Need for Random-Variates. We, usually, model uncertainty and unpredictability with statistical distributions Thereby, in order to run the simulation models involving uncertainty, we need to get samples from these statistical distributions
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Step 1. Compute the cdf of the desired random variable X, F(x).
Step 2. Find the inverse of F(x) function
Step 4. Generate uniform random variables R1, R2, R3, … and compute the desired random variates by
Output R’Acceptance-Rejection Technique
Step 1. Generate R ~ U[0,1]
Step 2a. If R >= ¼, accept X=R.
Step 2b. If R < ¼, reject R, return to Step 1
Xi = m + s Zi
Yi = eXi