[Numpy-discussion] random numbers from arbitrary distribution

[josef.pktd at gmail.com]

On Thu, Jul 7, 2011 at 9:26 AM, Wolfgang Kerzendorf
<wkerzendorf at googlemail.com> wrote:
> Hi all,
>
> Is there an  way to get random numbers from an arbitrary distribution
> already built-in to numpy. I am interested to do that for a black body
> distribution

What's a black body distributions? From a quick look at Wikipedia it
might be planck, which is available in scipy.stats.

A new distribution can be generated by subclassing
scipy.stats.distributions.rv_continuous
It has a generic random variable generator using the quantile
function, ppf. If the ppf is available, then this is fast. If only the
pdf is given, generating random variables is sloooow. (cdf is
calculated by integrate.quad, ppf is generated from cdf with
optimize.fsolve)

Some distributions can be generated by a transformation of variables,
which can also be very fast.

Nothing else to generate arbitrary random variables is available in
numpy or scipy.

(I just started to read a paper that uses a piecewise polynomial
approximation to the ppf that should work for fast generation of
random variables when only the pdf is given.)

Josef


>
> Thanks
>    Wolfgang
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