Re: Power law process

[Theodore C. Belding]

Hi Sven-
I haven't seen any such algorithms myself; there might be one in one of
these books:

Devroye, L. (1986). Non-uniform Random Variate Generation.
Springer-Verlag.

Bratley, P., B.L. Fox, and E.L. Shrage. (1983). A Guide to Simulation.
Springer-Verlag.

If you can't find a specific algorithm for power law random variates, you
might write an algorithm using either the transformation method (Section
7.2) or the rejection method (Section 7.3) in: 

Press, William H., et al. (1992). Numerical Recipes in C: The Art of
Scientific Computing. 2nd ed. Cambridge U. Press. PostScript online at
http://www.nr.com/

See also:
Knuth, D.E. (1998). The Art of Computer Programming. vol. 2: Seminumerical
Algorithms. pp. 119-142. Addison-Wesley.

If all else fails, you can just implement Per Bak's sandpile simulation
and use the distribution generated by that. :)
-Ted

--
Ted Belding                               address@hidden 
University of Michigan Program for the Study of Complex Systems
http://www-personal.umich.edu/~streak/

On Thu, 5 Nov 1998, Sven N. Thommesen wrote:

> Everyone,
> 
> I want to add to my sim (and hence to Swarm itself) a random object that
> generates power-law output (i.e. the frequency of deviation from mean is
> inversely proportional to the size of the deviation from mean). I'm trying
> to simulate the effect of stock market crashes (or other shocks) on a
> financial structure.
> 
> Have you done something like this yourself? Or would you know of a handy
> reference from which I could exctract a suitable 'recipe' ?
> 
> Cheers,
> Sven
>  
> 
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