An Algorithm for Fast Generation of Bivariate Poisson Random Vectors

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dc.contributorVirginia Techen
dc.contributor.authorShin, K.en
dc.contributor.authorPasupathy, R.en
dc.contributor.departmentIndustrial and Systems Engineeringen
dc.date.accessed2014-02-05en
dc.date.accessioned2014-03-05T14:00:24Zen
dc.date.available2014-03-05T14:00:24Zen
dc.date.issued2010en
dc.description.abstractWe present the "trivariate reduction extension" (TREx)-an exact algorithm for the fast generation of bivariate Poisson random vectors. Like the normal-to-anything (NORTA) procedure, TREx has two phases: a preprocessing phase when the required algorithm parameters are identified, and a generation phase when the parameters identified during the preprocessing phase are used to generate the desired Poisson vector. We prove that the proposed algorithm covers the entire range of theoretically feasible correlations, and we provide efficient-computation directives and rigorous bounds for truncation error control. We demonstrate through extensive numerical tests that TREx, being a specialized algorithm for Poisson vectors, has a preprocessing phase that is uniformly a hundred to a thousand times faster than a fast implementation of NORTA. The generation phases of TREx and NORTA are comparable in speed, with that of TREx being marginally faster. All code is publicly available.en
dc.description.sponsorshipOffice of Naval Research N00014-08-1-0066en
dc.format.mimetypeapplication/pdfen
dc.identifier.citationShin, Kaeyoung; Pasupathy, Raghu. An Algorithm for Fast Generation of Bivariate Poisson Random Vectors. INFORMS Journal on Computing 2010 22:1, 81-92. doi: 10.1287/ijoc.1090.0332en
dc.identifier.doihttps://doi.org/10.1287/ijoc.1090.0332en
dc.identifier.issn1091-9856en
dc.identifier.urihttp://hdl.handle.net/10919/25836en
dc.identifier.urlhttp://pubsonline.informs.org/doi/pdf/10.1287/ijoc.1090.0332en
dc.language.isoenen
dc.publisherINFORMSen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectStatisticsen
dc.subjectSimulationen
dc.subjectRandom variable generationen
dc.subjectMultivariateen
dc.subjectDistributionen
dc.subjectCorrelationen
dc.subjectMarginalsen
dc.titleAn Algorithm for Fast Generation of Bivariate Poisson Random Vectorsen
dc.title.serialInforms Journal on Computingen
dc.typeArticle - Refereeden
dc.type.dcmitypeTexten

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