random_exponential

Generates pseudorandom numbers from a standard exponential distribution.

Synopsis

#include <imsls.h>

float *imsls_f_random_exponential(int n_random, …, 0)

The type double function is imsls_d_random_exponential.

Required Arguments

int n_random (Input)
Number of random numbers to generate.

Return Value

An array of length n_random containing the random standard exponential deviates.

Synopsis with Optional Arguments

#include <imsls.h>

float *imsls_f_random_exponential (int n_random,
IMSLS_RETURN_USER, float r[],
0)

Optional Arguments

IMSLS_RETURN_USER, float r[] (Output)
User-supplied array of length n_random containing the random standard exponential deviates.

Description

Function imsls_f_random_exponential generates pseudorandom numbers from a standard exponential distribution. The probability density function is f (x) = e−x, for x > 0. Function imsls_f_random_exponential uses an antithetic inverse CDF technique; that is, a uniform random deviate U is generated, and the inverse of the exponential cumulative distribution function is evaluated at 1.0 − U to yield the exponential deviate.

Deviates from the exponential distribution with mean θ can be generated by using imsls_f_random_exponential and then multiplying each entry in r by θ.

Example

In this example, imsls_f_random_exponential generates five pseudorandom deviates from a standard exponential distribution.

 

#include <imsls.h>

#include <stdio.h>

 

#define N_RANDOM 5

 

int main()

{

int seed = 123457;

int n_random = N_RANDOM;

float *r;

 

imsls_random_seed_set(seed);

 

r = imsls_f_random_exponential(n_random,

0);

 

printf("%s: %8.4f%8.4f%8.4f%8.4f%8.4f\n",

"Exponential random deviates", r[0], r[1], r[2], r[3], r[4]);

}

Output

 

Exponential random deviates: 0.0344 1.3443 0.2662 0.5633 0.1686