On the Alias Method for Generating Random Variables from a Discrete Distribution |
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| Authors: | Richard A Kronmal Arthur V Peterson Jr |
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| Institution: | 1. Department of Biostatistics , University of Washington , Seattle , WA , 98195 , USA;2. Department of Biostatistics , University of Washington and Assistant Member, Fred Hutchinson Cancer Research Center , Seattle , WA , 98104 , USA |
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| Abstract: | The alias method of Walker is a clever, new, fast method for generating random variables from an arbitrary, specified discrete distribution. A simple probabilistic proof is given, in terms of mixtures, that the method works for any discrete distribution with a finite number of outcomes. A more efficient version of the table-generating portion of the method is described. Finally, a brief discussion on efficiency of the method is given. We believe that the generality, speed, and simplicity of the method make it attractive for use in generating discrete random variables. |
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| Keywords: | Random number generation Discrete distribution Alias method Rejection method |
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