Evaluation of algorithms for generating Dirichlet random vectors

Abstract

In this article, we describe various well-known Dirichlet generation algorithms and evaluate their performance in terms of the following criteria: (i) computer generation time, (ii) sensitivity, and (iii) goodness of fit. In addition, we examine in particular an algorithm based on transformation of beta variates and provide three useful guidelines so as to reduce its computer generation time. Simulation results show that the proposed algorithm significantly outperforms other approaches in terms of computer generation time, except in cases when all (or most) shape parameters are close to zero.

Keywords:

• Dirichlet random vector
• computer generation time
• sensitivity analysis
• multivariate goodness of fit

AMS Subject Classification :

• 65C10
• 68Q25
• 60E05