Wednesday, October 24, 2012

Sampling a Geometric Distribution from a Uniform One

This post merely records a useful fact I may use in a program I've been thinking about: given a number sampled from a uniform distribution for [0..1] we can translate that into a value in a geometric distribution with the equation floor(ln(U) / ln(1 - p)) where U is the value from the uniform distribution and p is the desired probability of success. Without the floor function this generates a value from an exponential distribution with lambda value equal to -ln(1-p), so ln(U) / (-lambda) is the value generated.

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