Exponential random number generation

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King Fisher
King Fisher le 27 Jan 2012
hi,
How to generate the exponential random numbers from uniform random number generator?
thx

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the cyclist
the cyclist le 27 Jan 2012
lambda = 2;
x = -log(rand(1,1000000)/lambda)
x will be exponentially distributed. See, for example, http://en.wikipedia.org/wiki/Exponential_distribution#Generating_exponential_variates
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James Tursa
James Tursa le 27 Jan 2012
Theoretically, one can invert the Cumulative Distribution Function and then plug uniform random numbers into that. Inverting the CDF is not always easy to accomplish, however.
the cyclist
the cyclist le 27 Jan 2012
+1 to what James just wrote. If you search "generate random variate", you will find plenty to read. The book (remember those?) "Numerical Recipes" has a digestible discussion of the topic.

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