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98 lines
4.4 KiB
Plaintext
98 lines
4.4 KiB
Plaintext
Notes about distribution tables from Nistnet
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I. About the distribution tables
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The table used for "synthesizing" the distribution is essentially a scaled,
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translated, inverse to the cumulative distribution function.
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Here's how to think about it: Let F() be the cumulative distribution
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function for a probability distribution X. We'll assume we've scaled
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things so that X has mean 0 and standard deviation 1, though that's not
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so important here. Then:
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F(x) = P(X <= x) = \int_{-inf}^x f
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where f is the probability density function.
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F is monotonically increasing, so has an inverse function G, with range
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0 to 1. Here, G(t) = the x such that P(X <= x) = t. (In general, G may
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have singularities if X has point masses, i.e., points x such that
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P(X = x) > 0.)
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Now we create a tabular representation of G as follows: Choose some table
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size N, and for the ith entry, put in G(i/N). Let's call this table T.
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The claim now is, I can create a (discrete) random variable Y whose
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distribution has the same approximate "shape" as X, simply by letting
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Y = T(U), where U is a discrete uniform random variable with range 1 to N.
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To see this, it's enough to show that Y's cumulative distribution function,
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(let's call it H), is a discrete approximation to F. But
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H(x) = P(Y <= x)
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= (# of entries in T <= x) / N -- as Y chosen uniformly from T
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= i/N, where i is the largest integer such that G(i/N) <= x
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= i/N, where i is the largest integer such that i/N <= F(x)
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-- since G and F are inverse functions (and F is
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increasing)
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= floor(N*F(x))/N
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as desired.
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II. How to create distribution tables (in theory)
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How can we create this table in practice? In some cases, F may have a
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simple expression which allows evaluating its inverse directly. The
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pareto distribution is one example of this. In other cases, and
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especially for matching an experimentally observed distribution, it's
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easiest simply to create a table for F and "invert" it. Here, we give
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a concrete example, namely how the new "experimental" distribution was
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created.
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1. Collect enough data points to characterize the distribution. Here, I
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collected 25,000 "ping" roundtrip times to a "distant" point (time.nist.gov).
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That's far more data than is really necessary, but it was fairly painless to
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collect it, so...
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2. Normalize the data so that it has mean 0 and standard deviation 1.
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3. Determine the cumulative distribution. The code I wrote creates a table
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covering the range -10 to +10, with granularity .00005. Obviously, this
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is absurdly over-precise, but since it's a one-time only computation, I
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figured it hardly mattered.
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4. Invert the table: for each table entry F(x) = y, make the y*TABLESIZE
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(here, 4096) entry be x*TABLEFACTOR (here, 8192). This creates a table
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for the ("normalized") inverse of size TABLESIZE, covering its domain 0
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to 1 with granularity 1/TABLESIZE. Note that even with the granularity
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used in creating the table for F, it's possible not all the entries in
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the table for G will be filled in. So, make a pass through the
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inverse's table, filling in any missing entries by linear interpolation.
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III. How to create distribution tables (in practice)
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If you want to do all this yourself, I've provided several tools to help:
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1. maketable does the steps 2-4 above, and then generates the appropriate
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header file. So if you have your own time distribution, you can generate
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the header simply by:
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maketable < time.values > header.h
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2. As explained in the other README file, the somewhat sleazy way I have
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of generating correlated values needs correction. You can generate your
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own correction tables by compiling makesigtable and makemutable with
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your header file. Check the Makefile to see how this is done.
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3. Warning: maketable, makesigtable and especially makemutable do
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enormous amounts of floating point arithmetic. Don't try running
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these on an old 486. (NIST Net itself will run fine on such a
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system, since in operation, it just needs to do a few simple integral
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calculations. But getting there takes some work.)
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4. The tables produced are all normalized for mean 0 and standard
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deviation 1. How do you know what values to use for real? Here, I've
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provided a simple "stats" utility. Give it a series of floating point
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values, and it will return their mean (mu), standard deviation (sigma),
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and correlation coefficient (rho). You can then plug these values
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directly into NIST Net.
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