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Generate Random Numbers from a 2D Discrete Distribution

version 1.3 (6.9 KB) by

Random numbers from any 2D discrete probability distribution, at any resolution.

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Tristan Ursell
2D Random Number Generator for a Given Discrete Distribution
March 2012
[x0,y0]=pinky(Xin,Yin,dist_in,varargin);
'Xin' is a vector specifying the equally spaced values along the x-axis.
'Yin' is a vector specifying the equally spaced values along the y-axis.
'dist_in' (dist_in > 0) is a matrix with dimensions length(Yin) x length(Xin), whose values specify a 2D discrete probability distribution. The distribution does not need to be normalized.

'res' (res > 1) is a multiplicative increase in the resolution of chosen random number, using cubic spline interpolation of the values in 'dist_in'. Using the 'res' option can significantly slow down the code, due to the computational costs of interpolation, but allows one to generate more continuous values from the distribution.

[x0,y0] is the output doublet of random numbers consistent with dist_in.

The 'gendist' function required by this script, is included in this m-file.

Example with an anisotropic Gaussian at native resolution:

 Xin=-10:0.1:10;
 Yin=-5:0.1:5;

 Xmat = ones(length(Yin),1)*Xin;
 Ymat = Yin'*ones(1,length(Xin));

 D1=1;
 D2=3;
 Dist=exp(-Ymat.^2/(2*D1^2)-Xmat.^2/(2*D2^2));

 N=10000;

 vals=zeros(2,N);
 for i=1:N
    [vals(1,i),vals(2,i)]=pinky(Xin,Yin,Dist);
 end

 figure;
 hold on
 imagesc(Xin,Yin,Dist)
 colormap(gray)
 plot(vals(1,:),vals(2,:),'r.')
 xlabel('Xin')
 ylabel('Yin')
 axis equal tight
 box on

Example with multiple peaks at 10X resolution:

 Xin=-10:0.1:10;
 Yin=-5:0.1:5;

 Xmat = ones(length(Yin),1)*Xin;
 Ymat = Yin'*ones(1,length(Xin));

 D1=0.5;
 D2=1;
 Dist=exp(-(Ymat-3).^2/(4*D2^2)-(Xmat+6).^2/(2*D1^2))+exp(-(Ymat+2).^2/(2*D1^2)-(Xmat+1).^2/(2*D2^2))+exp(-(Ymat-1).^2/(2*D1^2)-(Xmat-2).^2/(2*D2^2));

 N=10000;
 res=10;
 vals=zeros(2,N);
 for i=1:N
    [vals(1,i),vals(2,i)]=pinky(Xin,Yin,Dist,res);
 end

 figure;
 hold on
 imagesc(Xin,Yin,Dist)
 colormap(gray)
 plot(vals(1,:),vals(2,:),'r.')
 xlabel('Xin')
 ylabel('Yin')
 axis equal tight
 box on

Comments and Ratings (6)

Super nice.
Thanks!

Good function indeed, only I have got an issue calling this one thousands of times in a FOR loop. Really slows stuff down. I am struggling to get it to generate multiple x-y couples from one distribution with a single function call - as, for example, randsample does. But I'm not having much success just yet. Does anyone have a clue on how do I generate loads of random numbers at once?

Steven White

Very useful - thanks!

Tristan Ursell

Good catch -- I just put a check in the code to make sure the interpolated values are always positive.

M S

M S (view profile)

Excellent code, and amazingly, the only FEX submission for random sampling from 2D distributions.

I did run into a little bug. When using interpolation (res>1), I occasionally get "Error: All elements of first argument, P, must be positive." thrown by gendist(). This looks like it comes from interpolation giving negative numbers. The only hint at the culprit is that the joint PDFs I'm sending to your function have very very small numbers, (e.g., 1.4822e-323). When more reasonable numbers are used, the interpolation is fine.

Wonderful function!!

Updates

1.3

na

1.2

bug fix

1.1

fixed negative values due to interpolation

MATLAB Release
MATLAB 8.3 (R2014a)
Acknowledgements

Inspired: Probabilistic Earthquake Location in 2D

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