Efficient generation of Poisson distributed random variables

Research output: Contribution to journalArticlepeer-review

Abstract

Two algorithms are presented to generate random number samples from a Poisson distribution. The first algorithm exploits the relationship between the exponential distribution and the Poisson distribution. It is simple to implement, but its performance varies as a function of the mean of the distribution. The second algorithm uses a combination of techniques to efficiently generate samples in a time that is independent of the mean. This algorithm is found to be about ten times faster than the first algorithm for a particular set of parameters.

Original languageEnglish (US)
Pages (from-to)31-41
Number of pages11
JournalTransactions of the Society for Computer Simulation
Volume6
Issue number1
StatePublished - Jan 1 1989

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