Accession Number : ADA111883

Title :   Poisson Random Variate Generation.

Descriptive Note : Research memo.,

Corporate Author : PURDUE UNIV LAFAYETTE IN SCHOOL OF INDUSTRIAL ENGINEERING

Personal Author(s) : Schmeiser,Bruce ; Kachitvichyanukul,Voratas

PDF Url : ADA111883

Report Date : Dec 1981

Pagination or Media Count : 41

Abstract : Approximate algorithms have long been the only available methods for generating Poisson random variates when the mean is large. A new algorithm is developed that is exact, has execution time insensitive to the value of the mean, and is valid whenever the mean is greater than ten. This algorithm is compared to the three other algorithms which have been developed recently for generating Poisson variates when the mean is large. Criteria used are set-up time, marginal execution time, memory requirements, and lines of code. New simple tight bounds on Poisson probabilities contribute to the speed of the algorithm, but are useful in a general context. In addition, Poisson variate generation is surveyed. (Author)

Descriptors :   *Random number generators, *Random variables, *Poisson density functions, Probability, Monte Carlo method, Mean, Sampling, Algorithms, Inversion, Mathematical models, Transformations(Mathematics), Acceptability, Time, Rejection

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE