Generating random points in a polytope
作者:
Paul A. Rubin,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1984)
卷期:
Volume 13,
issue 3
页码: 375-396
ISSN:0361-0918
年代: 1984
DOI:10.1080/03610918408812382
出版商: Marcel Dekker, Inc.
关键词: uniform variates;polytopes;Monte Carlo simulation
数据来源: Taylor
摘要:
An algorithm is presented for generating pseudorandom variates distributed uniformly over an arbitrary convex polytope in a Euclidean space of arbitrary dimension. Many commonly used methods for generating uniform variates require that the polytope be expressed as the solution set of a system of linear inequalities; the algorithm presented here requires instead that the polytope be presented in terms of a finite generating set, typically the set of its vertices. Included in the algorithm are procedures for identifying all faces of the polytope and for decomposing the polytope into simplices.
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