Inverse Functions for Monte Carlo Simulations with applications to
hitting time distributions
Abstract
Random sampling is a ubiquitous tool in simulations and modeling in a
variety of applications. There are efficient algorithms for these for
several known distributions, but in general, one must resort to
computing or approximating the inverse to the distribution to generate
random samples, given a random number generator for a uniform
distribution. In certain physical and biomedical applications with which
we have been particularly concerned, it has proven to be more efficient
to provide random times for a walk of a fixed length, rather than the
conventional random step lengths in a given time step for the walker.
For these, the hitting-time distributions which have to be sampled have
been computed, and proved to be complicated expressions with no
efficient method to compute the inverse. In this paper, we explore a
well known probability (the F-ratio distribution) - whose inverses are
efficiently computable - as an alternative to generating look-up tables
and interpolations to obtain the required time samples. We find that
this distribution approximates the hitting-time distribution well, and
report on error measures for both the approximation to the desired, and
the error in the generated time samples. Future Monte Carlo simulations
in a number of fields of application may benefit from methods such as we
report here.