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Random Numbers from a Discrete Distribution

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Random Numbers from a Discrete Distribution



06 Dec 2011 (Updated )

Simple algorithm to generate random numbers from a user-defined discrete probability distribution.

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GENDIST - generate random numbers according to a discrete probability distribution
Tristan Ursell, 2011.

T = gendist(P,N,M)
T = gendist(P,N,M,'plot')

The function gendist(P,N,M) takes in a positive vector P whose values form a discrete probability distribution for the indices of P. The function outputs an N x M matrix of integers corresponding to the indices of P chosen at random from the given underlying distribution.

P will be normalized, if it is not normalized already. Both N and M must be greater than or equal to 1. The optional parameter 'plot' creates a plot displaying the input distribution in red and the generated points as a blue histogram.

Conceptual EXAMPLE:

If P = [0.2 0.4 0.4] (note sum(P)=1), then T can only take on values of 1, 2 or 3, corresponding to the possible indices of P. If one calls gendist(P,1,10), then on average the output T should contain two 1's, four 2's and four 3's, in accordance with the values of P, and a possible output might look like:

T = gendist(P,1,10)
T = 2 2 2 3 3 3 1 3 1 3

If, for example, P is a probability distribution for position, with positions X = [5 10 15] (does not have to be linearly spaced), then the set of generated positions is X(T).


P = rand(1,50);
T = gendist(P,100,1000,'plot');


X = -3:0.1:3;
P = 1+sin(X);
T = gendist(P,100,1000,'plot');
Xrand = X(T);


This file inspired Random Sample From Discrete Pdf.

Required Products MATLAB
MATLAB release MATLAB 7.9 (R2009b)
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Comments and Ratings (9)
15 Sep 2016 misbah aiad

Very good

30 Oct 2015 Radu Trimbitas

Nice code! Instructive!

21 Feb 2015 Chi-Fu

Chi-Fu (view profile)

23 Oct 2013 Senthil

Thanks. It helped me in my program

02 Mar 2012 NNNN

NNNN (view profile)

Thanks a lot, Derek, this one is indeed a champion !

On a 2.1GHz machine, Matlab2008a 32-bit,
I got:
t2 = 0.18
t2 within 18-22 for a couple of other tested methods.
Kind regards,

09 Dec 2011 Derek O'Connor

Here is a function that beats those above by a mile:

function S = DiscSampVec2(x,p,ns);
[~,idx] = histc(rand(1,ns),[0,cumsum(p)]);
S = x(idx);

This is a slight modification of the function on page 47, Kroese, Taimre, and Botev, Handbook of Monte Carlo Methods, Wiley, 2011.

>> ns=10^6; n=10^3; x=1:n;
>> p = rand(1,n); p = p/sum(p);

>> t2=tic;
>> S = DiscSampVec2(x,p,ns);
>> t2=toc(t2)


Comment only
07 Dec 2011 Tristan Ursell

@Derek, I am aware and glad that there are other formulations of this task. 'N' and 'M' are clearly defined in the description above. There is no overt relationship between P and N & M. P is a distribution, in the mathematical sense of the word, and because it describes the probability of picking an index of P, the sum of those values must equal one, i.e. it must be normalized.

For reference:

Comment only
07 Dec 2011 Derek O'Connor


See here

and here

Comment only
07 Dec 2011 Derek O'Connor

It would be useful if the author would explain clearly what P, M, N are. For example, if P is a "discrete probability distribution for the indices of P", then why does it need to be normalized? Also I think the author means "density" or "mass function" rather than "distribution".

Is M the size of the sample and is N the length of P?

I presume the author is trying to do what this simple function does:

function S = DiscITSamp1(x,p,ns);

% Generate a random sample S of size ns
% with replacement from x(1:n) with prob. % density p(1:n), using the discrete
% inverse transform method.
% Time Complexity: O(n*ns).
% Derek O'Connor, 31 July 2011.
% USE: S = DiscITSamp1([5 7 8 11],
% [0.2 0.3 0.4 0.1],1000);hist(S)

cdf = cumsum(p);
S = zeros(1,ns);
for k = 1:ns
u = rand;
i = 1;
while cdf(i) <= u
i = i+1;
S(k) = x(i);

This is three times faster than GENDIST on a 2.3GHz machine, Matlab2008a 64-bit

>> ns=10^6;n = 10^3;x=1:n;p=rand(1,n);p=p/sum(p);
>> tic;S1 = DiscITSamp1(x,p,ns);t=toc;disp([ns t])
1e+006 5.6115

>> tic;S2 = gendist(p,1,ns);t=toc;disp([ns t])
1e+006 19.278

Comment only
08 Dec 2011 1.2

minor code reorganization, a little faster, a little cleaner.

21 Mar 2012 1.6

replaced older for loop implementation with histc implementation

21 Mar 2012 1.7

plot fixed

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