stat341 / CM 361

Computational Statistics and Data Analysis is a course offered at the University of Waterloo
Spring 2009
Instructor: Ali Ghodsi

Sampling (Generating random numbers)

Lecture of May 12th, 2009

In order to study statistics computationally, we need a good way to generate random numbers from various distributions using computational methods, or at least numbers whose distribution appears to be random (pseudo-random). Outside a computational setting, this is fairly easy (at least for the uniform distribution). Rolling a fair die repetitively, for example, produces a series of random numbers (from 1 to 6) with a uniform distribution.

We begin by considering the simplest case: the uniform distribution.

Multiplicative Congruential Method

One way to generate pseudo random numbers from the uniform distribution is using the Multiplicative Congruential Method. This involves three integer parameters a, b, and m, and a seed variable x₀. This method deterministically generates a sequence of numbers (based on the seed) with a seemingly random distribution (with some caveats). It proceeds as follows:

[math]\displaystyle{ x_{i+1} = (ax_{i} + b) \mod{m} }[/math]

For example, with a = 13, b = 0, m = 31, x₀ = 1, we have:

[math]\displaystyle{ x_{i+1} = 13x_{i} \mod{31} }[/math]

So,

[math]\displaystyle{ \begin{align} x_{0} &{}= 1 \end{align} }[/math]

[math]\displaystyle{ \begin{align} x_{1} &{}= 13 \times 1 + 0 \mod{31} = 13 \\ \end{align} }[/math]

[math]\displaystyle{ \begin{align} x_{2} &{}= 13 \times 13 + 0 \mod{31} = 14 \\ \end{align} }[/math]

[math]\displaystyle{ \begin{align} x_{3} &{}= 13 \times 14 + 0 \mod{31} =27 \\ \end{align} }[/math]

etc.

For correctly chosen values of a, b, and m, this method will generate a sequence of integers including all integers between 0 and m - 1. Scaling the output by dividing the terms of the resulting sequence by m - 1, we create a sequence of numbers between 0 and 1, which is similar to sampling from a uniform distribution.

Of course, not all values of a, b, and m will behave in this way, and will not be suitable for use in generating pseudo random numbers.

For example, with a = 3, b = 2, m = 4, x₀ = 1, we have:

[math]\displaystyle{ x_{i+1} = (3x_{i} + 2) \mod{4} }[/math]

So,

[math]\displaystyle{ \begin{align} x_{0} &{}= 1 \end{align} }[/math]

[math]\displaystyle{ \begin{align} x_{1} &{}= 3 \times 1 + 2 \mod{4} = 1 \\ \end{align} }[/math]

[math]\displaystyle{ \begin{align} x_{2} &{}= 3 \times 1 + 2 \mod{4} = 1 \\ \end{align} }[/math]

etc.

In practice, it has been found by a paper published in 1988 by Park and Miller, that a = 7⁵, b = 0, and m = 2³¹ - 1 = 2147483647 (the maximum size of a signed integer in a 32-bit system) are good values for the Multiplicative Congruential Method.

General Methods

Since the Multiplicative Congruential Method can only be used for the uniform distribution, other methods must be developed in order to generate pseudo random numbers from other distributions.

Inverse Transform Method

This method uses the fact that when a random sample from the uniform distribution is applied to the inverse of a cumulative density function (cdf) of some distribution, the result is a random sample of that distribution. This is shown by this theorem:

Theorem:

If [math]\displaystyle{ U \sim~ Unif[0, 1] }[/math] is a random variable and [math]\displaystyle{ X = F^{-1}(U) }[/math], where F is continuous, monotonic, and is the cumulative density function (cdf) for some distribution, then the distribution of the random variable X is given by F(X).

Proof:

Recall that, if f is the pdf corresponding to F, then,

[math]\displaystyle{ F(x) = P(X \leq x) = \int_{-\infty}^x f(x) }[/math]

So F is monotonically increasing, since the probability that X is less than a greater number must be greater than the probability that X is less than a lesser number.

Note also that in the uniform distribution on [0, 1], we have for all a within [0, 1], [math]\displaystyle{ P(U \leq a) = a }[/math].

So,

[math]\displaystyle{ \begin{align} P(F^{-1}(U) \leq x) &{}= P(F(F^{-1}(U)) \leq F(x)) \\ &{}= P(U \leq F(x)) \\ &{}= F(x) \end{align} }[/math]

Completing the proof.

Procedure (Continuous Case)

This method then gives us the following procedure for finding pseudo random numbers from a continuous distribution:

• Step 1: Draw [math]\displaystyle{ U \sim~ Unif [0, 1] }[/math].
• Step 2: Compute [math]\displaystyle{ X = F^{-1}(U) }[/math].

Example:

Suppose we want to draw a sample from [math]\displaystyle{ f(x) = \lambda e^{-\lambda x} }[/math] where [math]\displaystyle{ x \gt 0 }[/math] (the exponential distribution).

We need to first find [math]\displaystyle{ F(x) }[/math] and then its inverse, [math]\displaystyle{ F^{-1} }[/math].

[math]\displaystyle{ F(x) = \int^x_0 \theta e^{-\theta u} du = 1 - e^{-\theta x} }[/math]

[math]\displaystyle{ F^{-1}(x) = \frac{-log(1-y)}{\theta} = \frac{-log(u)}{\theta} }[/math]

Now we can generate our random sample [math]\displaystyle{ i=1\dots n }[/math] from [math]\displaystyle{ f(x) }[/math] by:

[math]\displaystyle{ 1)\ u_i \sim Unif[0, 1] }[/math]

[math]\displaystyle{ 2)\ x_i = \frac{-log(u_i)}{\theta} }[/math]

The [math]\displaystyle{ x_i }[/math] are now a random sample from [math]\displaystyle{ f(x) }[/math].

This example can be illustrated in Matlab using the code below. Generate [math]\displaystyle{ u_i }[/math], calculate [math]\displaystyle{ x_i }[/math] using the above formula and letting [math]\displaystyle{ \theta=1 }[/math], plot the histogram of [math]\displaystyle{ x_i }[/math]'s for [math]\displaystyle{ i=1,...,100,000 }[/math].

u=rand(1,100000);
x=-log(1-u)/1;
hist(x)

The histogram shows exponential pattern as expected.

The major problem with this approach is that we have to find [math]\displaystyle{ F^{-1} }[/math] and for many distributions it is too difficult (or impossible) to find the inverse of [math]\displaystyle{ F(x) }[/math]. Further, for some distributions it is not even possible to find [math]\displaystyle{ F(x) }[/math]

Procedure (Discrete Case)

The above method can be easily adapted to work on discrete distributions as well.

In general in the discrete case, we have [math]\displaystyle{ x_0, \dots , x_n }[/math] where:

[math]\displaystyle{ \begin{align}P(X = x_i) &{}= p_i \end{align} }[/math]

[math]\displaystyle{ x_0 \leq x_1 \leq x_2 \dots \leq x_n }[/math]

[math]\displaystyle{ \sum p_i = 1 }[/math]

Thus we can define the following method to find pseudo random numbers in the discrete case (note that the less-than signs from class have been changed to less-than-or-equal-to signs by me, since otherwise the case of [math]\displaystyle{ U = 1 }[/math] is missed):

• Step 1: Draw [math]\displaystyle{ U~ \sim~ Unif [0,1] }[/math].
• Step 2:
  • If [math]\displaystyle{ U \lt p_0 }[/math], return [math]\displaystyle{ X = x_0 }[/math]
  • If [math]\displaystyle{ p_0 \leq U \lt p_0 + p_1 }[/math], return [math]\displaystyle{ X = x_1 }[/math]
  • ...
  • In general, if [math]\displaystyle{ p_0+ p_1 + \dots + p_{k-1} \leq U \lt p_0 + \dots + p_k }[/math], return [math]\displaystyle{ X = x_k }[/math]

Example (from class):

Suppose we have the following discrete distribution:

[math]\displaystyle{ \begin{align} P(X = 0) &{}= 0.3 \\ P(X = 1) &{}= 0.2 \\ P(X = 2) &{}= 0.5 \end{align} }[/math]

The cumulative density function (cdf) for this distribution is then:

[math]\displaystyle{ F(x) = \begin{cases} 0, & \text{if } x \lt 0 \\ 0.3, & \text{if } 0 \leq x \lt 1 \\ 0.5, & \text{if } 1 \leq x \lt 2 \\ 1, & \text{if } 2 \leq x \end{cases} }[/math]

Then we can generate numbers from this distribution like this, given [math]\displaystyle{ u_0, \dots, u_n }[/math] from [math]\displaystyle{ U \sim~ Unif[0, 1] }[/math]:

[math]\displaystyle{ x_i = \begin{cases} 0, & \text{if } u_i \leq 0.3 \\ 1, & \text{if } 0.3 \lt u_i \leq 0.5 \\ 2, & \text{if } 0.5 \lt u_i \leq 1 \end{cases} }[/math]

Lecture of May 14th, 2009

Today, we continue the discussion on sampling (generating random numbers) from general distributions with the Acceptance/Rejection Method.

Acceptance/Rejection Method

Suppose we wish to sample from a target distribution [math]\displaystyle{ f(x) }[/math] that is difficult or impossible to sample from directly. Suppose also that we have a proposal distribution [math]\displaystyle{ g(x) }[/math] from which we have a reasonable method of sampling (e.g. the uniform distribution). Then, if there is a constant [math]\displaystyle{ c \ |\ c \cdot g(x) \geq f(x)\ \forall x }[/math], accepting samples drawn in successions from the distribution [math]\displaystyle{ c \cdot g(x) }[/math] with probability :[math]\displaystyle{ \frac {f(x)}{c \cdot g(x)} }[/math] will yield a sample that follows the target distribution [math]\displaystyle{ f(x) }[/math].

Proof

Note the followings:

• [math]\displaystyle{ Pr(X|accept) = \frac{Pr(accept|X) \times Pr(X)}{Pr(accept)} }[/math] (Baye's theorem)
• [math]\displaystyle{ Pr(accept|X) = \frac{f(x)}{c \cdot g(x)} }[/math]
• [math]\displaystyle{ Pr(X) = g(x)\frac{}{} }[/math]

So, [math]\displaystyle{ Pr(accept) = \int^{}_x Pr(accept|X) \times Pr(X) dx }[/math] [math]\displaystyle{ = \int^{}_x \frac{f(x)}{c \cdot g(x)} g(x) dx }[/math] [math]\displaystyle{ = \frac{1}{c} \int^{}_x f(x) dx }[/math] [math]\displaystyle{ = \frac{1}{c} }[/math]

Therefore, [math]\displaystyle{ Pr(X|accept) = \frac{\frac{f(x)}{c\ \cdot g(x)} \times g(x)}{\frac{1}{c}} = f(x) }[/math] as required.

Procedure (Continuous Case)

• Choose [math]\displaystyle{ g(x) }[/math] (a density function that is simple to sample from)
• Find a constant c such that :[math]\displaystyle{ c \cdot g(x) \geq f(x) }[/math]

1. Let [math]\displaystyle{ Y \sim~ g(y) }[/math]
2. Let [math]\displaystyle{ U \sim~ Unif [0,1] }[/math]
3. If [math]\displaystyle{ U \leq \frac{f(x)}{c \cdot g(x)} }[/math] then X=Y; else reject and go to 1

Example:

Suppose we want to sample from Beta(2,1), for [math]\displaystyle{ 0 \leq x \leq 1 }[/math]. Recall:

[math]\displaystyle{ Beta(2,1) = \frac{\Gamma (2+1)}{\Gamma (2) \Gamma(1)} \times x^1(1-x)^0 = \frac{2!}{1!0!} \times x = 2x }[/math]

• Choose [math]\displaystyle{ g(x) \sim~ Unif [0,1] }[/math]
• Find c: c = 2 (see notes below)

1. Let [math]\displaystyle{ Y \sim~ Unif [0,1] }[/math]
2. Let [math]\displaystyle{ U \sim~ Unif [0,1] }[/math]
3. If [math]\displaystyle{ U \leq \frac{2Y}{2} = Y }[/math], then X=Y; else go to 1

[math]\displaystyle{ c }[/math] was chosen to be 2 in this example since [math]\displaystyle{ max (\frac{f(x)}{g(x)}) }[/math] in this example is 2. This condition is important since it helps us in finding a suitable [math]\displaystyle{ c }[/math] to apply the Acceptance/Rejection Method.

In MATLAB, the code that demonstrates the result of this example is:

Y=rand(1,100000);
U=rand(1,100000);
if U<=Y then X=Y;
hist(X)

The histogram produced here should follow the target distribution, [math]\displaystyle{ f(x) = 2x }[/math], for the interval [math]\displaystyle{ 0 \leq x \leq 1 }[/math].

The Discrete Case

The Acceptance/Rejection Method can be extended for discrete target distributions. The difference compared to the continuous case is that the proposal distribution [math]\displaystyle{ g(x) }[/math] must also be discrete distribution. For our purposes, we can consider g(x) to be a discrete uniform distribution on the set of values that X may take on in the target distribution.

Example

Suppose we want to sample from a distribution with the following probability mass function (pmf):

P(X=1) = 0.15
P(X=2) = 0.55
P(X=3) = 0.20
P(X=4) = 0.10

• Choose [math]\displaystyle{ g(x) }[/math] to be the discrete uniform distribution on the set [math]\displaystyle{ \{1,2,3,4\} }[/math]
• Find c: [math]\displaystyle{ c = max(\frac{f(x)}{g(x)})= 0.55/0.25 = 2.2 }[/math]

1. Generate [math]\displaystyle{ Y \sim~ Unif [1,2,3,4] }[/math]
2. Let [math]\displaystyle{ U \sim~ Unif [0,1] }[/math]
3. If [math]\displaystyle{ U \leq \frac{f(x)}{2.2 \times 0.25} }[/math], then X=Y; else go to 1

Limitations

If the proposed distribution is very different from the target distribution, we may have to rejected a large number of points before a good sample size of the target distribution can be established.

We will now begin to discuss sampling from specific distributions.

Review of Gamma Distribution

Recall that the cdf of the Gamma distribution is:

[math]\displaystyle{ F(x) = \int_0^{\lambda x} \frac{e^{-y}y^{t-1}}{(t-1)!} dy }[/math]

If we wish to sample from this distribution, it will be difficult for both the Inverse Method and the Acceptance/Rejection Method.

Addictive Property of Gamma Distribution

Recall that if [math]\displaystyle{ x_1, \dots, x_t }[/math] are independent exponential distributions with mean [math]\displaystyle{ \lambda }[/math] (in other words, [math]\displaystyle{ x_i \sim~ Exp (\lambda) }[/math]), then [math]\displaystyle{ \Sigma_{i=1}^t x_i \sim~ Gamma (\lambda, t) }[/math]

It appears that if we want to sample from the Gamma distribution, we can consider sampling from t independent exponential distributions with mean [math]\displaystyle{ \lambda }[/math] (using the Inverse Method) and add the them up. Details will be discussed in the next lecture.