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We develop and evaluate algorithms for generating random variates for simulation input. One group called automatic, or black-box algorithms can be used to sample from distributions with known density. They are based on the rejection principle. The hat function is generated automatically in a setup step using the idea of transformed density rejection. There the density is transformed into a concave function and the minimum of several tangents is used to construct the hat function. The resulting algorithms are not too complicated and are quite fast. The principle is also applicable to random vectors. A second group of algorithms is presented that generate random variates directly from a given sample by implicitly estimating the unknown distribution. The best of these algorithms are based on the idea of naive resampling plus added noise. These algorithms can be interpreted as sampling from the kernel density estimates. This method can be also applied to random vectors. There it can be interpreted as a mixture of naive resampling and sampling from the multi-normal distribution that has the same covariance matrix as the data. The algorithms described in this paper have been implemented in ANSI C in a library called UNURAN which is available via anonymous ftp. (author's abstract) / Series: Preprint Series / Department of Applied Statistics and Data Processing

Made available in DSpace on 2016-08-17T14:53:26Z (GMT). No. of bitstreams: 1 Dissertacao Aleksandro Costa.pdf: 1706153 bytes, checksum: 8d61027896dbab484303f78ed17b9b70 (MD5) Previous issue date: 2014-02-28 / FUNDAÇÃO DE AMPARO À PESQUISA E AO DESENVOLVIMENTO CIENTIFICO E TECNOLÓGICO DO MARANHÃO / This work has the objective to develop an analytical model that makes prediction of the behavior of the algorithm as a function of the design parameters (step adaptation, kernel function and its parameters).We use a non-quadratic function based on kernel, performing a nonlinear transformation of the input space filtering applied on line. Was developed and implemented in the system for adaptive filtering based on Kernel, which provides an analysis of the behavior of KRLS algorithm as well as its properties of convergence. It applies a kernel function in the cost function from the non-recursive quadratic function of an even power, which minimizes the error, defined as the expectation of the cumulative cost of actions taken along a sequence of steps. It appears that this approach allows the determination of the parameters of the problem with greater reliability and robustness and lower cost compared with traditional algorithms (RLS, KRLS, RNQ) . / Este trabalho tem como objetivo desenvolver um modelo analítico que faça a previsão do comportamento do algoritmo RLS como uma função dos parâmetros de projeto (passo de adaptação, função kernel e seus parâmetros). Utiliza-se uma função não quadrática baseado em kernel, realizando uma transformação não linear do espaço de entrada aplicada à filtragem. Foi desenvolvido e implementado na redução de ruídos para a filtragem adaptativa baseada em Kernel, que fornece uma análise do comportamento do algoritmo KRLS, bem como de suas propriedades de convergência. Aplica-se uma função kernel na função de custo a partir da função recursiva não quadrática de quarta potência, que minimiza o erro, definido como a expectativa do custo cumulativo de ações tomadas ao longo de uma sequência de passos. Verifica-se que essa abordagem possibilita a determinação dos parâmetros do problema com uma maior confiabilidade e robustez e o menor custo, quando comparado com algoritmos tradicionais (RLS, KRLS, RNQ).