z*****h
发帖数: 17 | 1 f(x) is proptional to
exp{-sum(v_i*(x-b_i))-(x-c)^2/(2s)}/product{1+exp(b_i-x)}
i=1 to 20, v_i, b_i, c, s 已知。sum表示和，product表示积。
请问有什莫方法可以模拟这种复杂的分布？可以用ratio of uniforms吗？
多谢您的任何帮助！！！ | W*****k
发帖数: 158 | 2 acceptance-rejection
【在 z*****h 的大作中提到】
: f(x) is proptional to
: exp{-sum(v_i*(x-b_i))-(x-c)^2/(2s)}/product{1+exp(b_i-x)}
: i=1 to 20, v_i, b_i, c, s 已知。sum表示和，product表示积。
: 请问有什莫方法可以模拟这种复杂的分布？可以用ratio of uniforms吗？
: 多谢您的任何帮助！！！
| z*****h
发帖数: 17 | 3 多谢！是不是可以把它看作两部分：Normal+其他. 其他小于1。只要generate Normal
and Uniform? Thank tremendous!!! | z*****h
发帖数: 17 | 4 Sorry. I think the problem is that the function is not normalized and it is
impossible to calculate the normalization constant. Can I still use accept-
reject? Any help will be high appreciated, | t***s
发帖数: 88 | 5 accept/reject 方法不需要做归一化
问题是你的PDF含有指数，如果最大值和最小值差别很大的话，用accept/reject方法效
率很低。可以考虑用monte carlo
is
【在 z*****h 的大作中提到】
: Sorry. I think the problem is that the function is not normalized and it is
: impossible to calculate the normalization constant. Can I still use accept-
: reject? Any help will be high appreciated,
| z*****h
发帖数: 17 | 6 f f(x) need not to be normalized, can I use the following algorithm?
1. Generate X~N(c,s), U~U(0,1)
2. Accept Y=X if U<=1(or sqrt(2pi*s)?)
3. Return to 1, otherwise
I'm confused about how to determine g(x)/f(x). If f(x) is density function,
there will be no confusion. But here f(x) is proptional to ...
Any help will be highly appreciated, |
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