From: hrubin@mean.stat.purdue.edu (Herman Rubin)
Newsgroups: sci.math.num-analysis
Subject: Re: probability problem !!
Date: 16 Dec 1997 09:54:52 -0500

In article <3495AFB0.97F@supelec.fr>,
Julien Restat  <julien.restat@supelec.fr> wrote:
>Please help me !

>How could I generate a random variable with a given pdf f(x) using a
>uniform random variable ?
>Thank you for your help.

>Gadjoule.

There is one guaranteed method, which is rarely used because there
are usually much cheaper ways.  That is to invert the cdf.

If U is uniform between 0 and 1, the smallest solution of 
F(x) >= U will have the cdf F.

However, most generation is by methods for the specific problem,
as this is much faster.  Acceptance-rejection methods are the 
most used.
-- 
This address is for information only.  I do not claim that these views
are those of the Statistics Department or of Purdue University.
Herman Rubin, Dept. of Statistics, Purdue Univ., West Lafayette IN47907-1399
hrubin@stat.purdue.edu         Phone: (765)494-6054   FAX: (765)494-0558