Fast Generation of NonUniform Random Numbers
Suppose you want to chose between several values randomly with uniform probability. That is, you might have 5 options, A, B, C, D, E. You want to chose among them with equal probability. You generate a random number from [01), and multiply that number by 5, round down to the nearest integer, use that to index into an array of letters.
But what if you want to chose among these values with nonuniform probability? Suppose for each symbol you assign a likelihood, and you want to generate symbols from a nonuniform probability distribution:
A: 0.05 B: 0.10 C: 0.10 D: 0.20 E: 0.55
It is possible to do this, in constant time, and with memory that scales linearly with the number of symbols: decompose the probabilities of each N symbols into N1 binary distributions.
Some Naive Methods
Table Method: An obvious method of doing this would be to create a table that is in proportion to the probabilities, and select uniformly from the elements in the table:
A, B, B, C, C, D, D, D, D, E, E, E, E, E, E, E, E, E, E, E
This will generate the symbols in constant time, but the table can become very large if the probabilities are very uneven. In this case the least common factor is 0.05, so you need a table with 20 elements. If the least common factor had been say 0.0001, you would need a table with 10000 elements.
The other problem with this method is that if you change the probability of any symbol, you would have to regenerate the entire table.
In C, this method is sometimes implemented with a giant “switch” statement. It works in constant time, but in this case you still have a table, it is just expressed in code rather than in data.
Cumulative probability Methods: You create a table of cumulative probabilities:
A: 0.05 B: 0.15 C: 0.25 D: 0.45 E: 1.00
Then generate a number from [01), and then test that number for each of the given ranges. E.g. if N smaller than 0.05 return A, if smaller than 0.15 return B etc.
This method will generate numbers in time that scales linearly with the the number of elements in the distribution.
An improvement on this method is to use a binary search to find the desired symbol. This will scale as O=log(n). A lot better – but not constant time.
Decomposing NonUniform Distributions
A better way is to convert the input set of probabilities into a set of binary distributions.
Any discrete nonuniform probability distribution can be decomposed into N1 nonuniform binary distributions. For example, consider this distribution:
A: 0.05 B: 0.10 C: 0.10 D: 0.20 E: 0.55
It can be expressed as:
1. A/E: 0.20/0.80 2. B/E: 0.40/0.60 3. C/E: 0.40/0.60 4. D/E: 0.80/0.20
To generate a number: first chose a distribution using a uniform generator, and then chose between the first or second symbol according to the binary probability.
For example, assume you have a uniform random number generator that generates values in the range of [01).
First you would generate a random number, multiply by the number of distributions, 4, and round down to get a number from [03], say 2, selecting the binary distribution for B/E. Then generate another number from [01), and chose between the first or second symbol according to the probability. In this case if the number is smaller or equal 0.40 generate B, otherwise generate E.
To verify the decomposed binary distributions: divide each probability by the number of distributions and confirm that they sum to the original nondecomposed probabilities:
1. A/E: 0.20/4 = 0.05, 0.80/4 = 0.20 2. B/E: 0.40/4 = 0.10, 0.60/4 = 0.15 3. C/E: 0.40/4 = 0.20, 0.60/4 = 0.15 2. D/E: 0.80/4 = 0.20, 0.20/4 = 0.05
Now summing the probabilities for each symbol:
A: 0.05 ( from 1 ) B: 0.10 ( from 2 ) C: 0.20 ( from 3 ) D: 0.20 ( from 4 ) E: 0.55 ( from 14: 0.20 + 0.15 + 0.15 + 0.05 = 0.55 )
Decomposing NonUniform Distributions into Binary Distributions
Step 1: Determine the number of binary distributions.
We said earlier that any nonuniform probability distribution of N symbols can be decomposed into N1 binary distributions. But you can actually do a little better than that – you can ignore all symbols with probability zero. So the first thing we do is count up the number of symbols with a nonzero probability, and use that to determine the number of binary distributions.
Step 2: Compute the probability of choosing any of binary distribution.
If the number of distributions is N, then this probability is just 1/N. This is the portion of the probability space that each distribution will account for. For example with 5 distributions, each distribution has a probability of 0.20. Each one must account for 1/5 of the probability space. That is, each distribution will represent one portion of the probability of each of two symbols, such that the sum of the probability of each is equal to the probability of choosing that distribution.
Step 3: Generate the binary distributions.
For each distribution we chose 2 symbols: one which has a probability A, which smaller than or equal to 1/N, and another which has a probability B, greater than or equal to ((1/N) – A).
We create the new distribution by setting its two symbols, and setting its probability to ( N * A ).
As we create new binary distributions, we subtract the probabilities in our input nonuniform distribution to account for each generated binary distribution, until all the input probabilities are zero.
Decomposing a NonUniform Distribution: Example
Before we get to the code lets run through an example, given the following input probability distribution:
A: 0.28 B: 0.20 C: 0.05 D: 0.00 E: 0.12 F: 0.35
We have 5 nonzero probabilities, so we need to generate 4 binary distributions. The probability of each distribution is 1/4, or 0.25. Since the probability of D is zero, we can safely ignore it.
To generate the first probability we consider each symbol in turn. A has a probability larger than 0.25, so we skip it. B has a probability 0.20, so we chose that as the first symbol of our first distribution.
We compute the minimum probability for the second symbol in the first distribution:
0.25  0.20 = 0.05
A has a probability greater than 0.05, so we chose A for the second symbol in the first distribution.
We compute the probability of choosing B vs. A in the first distribution:
4 * 0.20 = 0.80
The first distribution is therefore:
B/A: 0.80/0.20
We now adjust the input nonuniform distribution. We set B to zero and therefore remove it, and we subtract ( 0.25 – 0.20 ), or 0.05, from the probability of A:
A: 0.23 C: 0.05 E: 0.12 F: 0.35
We repeat this process three times for each remaining binary distributions.
So for the second distribution, A now has a probability smaller than 0.25. 0.25 – 0.23 = 0.02. Now we choose a symbol with probability greater than 0.02, so we choose C. Therefore we now have the following two binary distributions:
B/A: 0.80/0.20 A/C: 0.92/0.08
The input distribution is now:
C: 0.03 E: 0.12 F: 0.35
For the second distribution C has a probability smaller than 0.25. 0.25 – 0.03 = 0.22. Choose a symbol with probability greater than 0.22, so we choose F. Now we have the following three binary distributions:
B/A: 0.80/0.20 A/C: 0.92/0.08 C/F: 0.12/0.88
And the input distribution is now:
E: 0.12 F: 0.13
We have two symbols remaining. Note that their probabilities sum to 0.25, so at the end of this step the input distribution will be completely accounted for.
We create the last distribution from the remaining two symbols:
B/A: 0.80/0.20 A/C: 0.92/0.08 C/F: 0.12/0.88 E/F: 0.48/0.52
We can verify the binary distributions. Divide each probability by the number distributions:
1. B/A: 0.80/4 = 0.20, 0.20/4 = 0.05 2. A/C: 0.92/4 = 0.23, 0.08/4 = 0.02 3. C/F: 0.12/4 = 0.03, 0.88/4 = 0.22 4. E/F: 0.48/4 = 0.12, 0.52/4 = 0.13
And sum the resulting probabilities for each symbol:
A = 0.23 + 0.5 = 0.28 ( from 1 and 2 ) B = 0.20 ( from 1 ) C = 0.02 + 0.03 = 0.05 ( from 2 and 3 ) D = 0.00 E = 0.12 ( from 4 ) F = 0.22 + 0.13 = 0.35 ( from 3 and 4 )
Implementation
Now that we have the theory in place we can go over the code.
First we’ll go over the code to represent binary distributions and to generate nonuniform symbols numbers using them. All the code is pretty easy. Decomposing into binary distributions is the most complex part, so we’ll go over that at the end.
A Uniform Random Number Generator
First lets implement a simple uniform random number generator. We will use this to build our nonuniform generator.
#define U32_MAX 0xFFFFFFFF class KxuRand { public: virtual ~KxuRand() { ; } virtual u32 getRandom() = 0; virtual double getRandomUnit() { return (((double)getRandom()) / U32_MAX ); } }; class KxuRandUniform : public KxuRand { public: virtual ~KxuRandUniform() { ; } virtual void setSeed( u32 seed ) = 0; u32 getRandomInRange( u32 n ) { u64 v = getRandom(); v *= n; return u32( v >> 32 ); } u32 getRandomInRange( u32 start, u32 end ) { return getRandomInRange( end  start ) + start; } }; // a dead simple Linear Congruent random number generator class KxuLCRand : public KxuRandUniform { public: KxuLCRand( u32 seed = 555 ) { setSeed( seed ); } void setSeed( u32 seed ) { if ( !seed ) seed = 0x333; mState = seed  1; } u32 getRandom() { mState = ( mState * 69069 ) + 1; return mState; } private: u32 mState; };
KxuRand
is a virtual base class for all our generators. From this we build a uniform generator, KxuRandUniform
that will generate a random number from [0N) with uniform probability – all values are equally probable.
I also include here a classic random number generator, the linear congruent generator, as KxuLCRand
. This is a very fast and very simple generator with good performance. In practice, if you need high quality random numbers you should implement something like a mersenne twister, as a class derived from KxuRandomUniform
A NonUniform Random Generator
For efficiency and accuracy, we’re going to implement the nonuniform generator using 32bit fixed point math, with all bits to the right of the decimal point ( aka 0.32 fixed point). Each integer will correspond to a number the range from [01).
You can convert btween 0.32 fixed point and floating point like this:
double fixedToFloat_0_32( u32 val ) { return (((double)val) / U32_MAX ); } u32 floatToFixed_0_32( double val ) { return (u32)( val * U32_MAX ); }
Using fixed point math has a number of advantages:

1. Fixed point is generally faster than floating point.
2. The values we are going to use are all in the range of [01). Floating point numbers reserve some bits for the exponent, but in our case the exponent will always be the same, so by using 32 bit fixed point we actually have more resolution and therefore accuracy.
Now we implement a trivial class to represent a binary distribution:
class Distribution { public: Distribution() { ; } Distribution( u32 a, u32 b, u32 p ) { mA = a; mB = b, mProb = p; } u32 mA; u32 mB; u32 mProb; };
This class just holds the two symbols in the distribution and a probability. The symbols, mA
and mB
are indexes into an array of your symbols. So if you literally wanted to generate letters like A, B, C, D, E, you create an array somewhere with those letters, and use the numbers generated by generator to index into this table.
Next we declare the interface for our nonuniform generator:
class KxuNuRand : public KxuRand { public: KxuNuRand( const KxVector<u32>& dist, KxuRandUniform* rand ); u32 getRandom(); protected: KxVector<Distribution> mDist; KxuRandUniform* mRand; };
KxVector
is simple vector container similar to std::vector.
To initialize the generator you pass in an array of integers that are in proportion to the probabilities in your nonuniform distribution. When we initialize the system we will normalize these into a set of probabilities that sum to one. So all you need to do is pass in integer proportions.
If your input distribution is already represented as floating point values that sum to 1, you can multiply each probability by U32_MAX
, and cast it to an unsigned int.
To represent our example distribution you could pass in:
1, 2, 2, 4, 11
Or even:
0.05 * U32_MAX, 0.10 * U32_MAX, 0.20 * U32_MAX, 0.20 * U32_MAX, 0.55 * U32_MAX
Either way works, so long as the values are in the same proportions as your desired probabilities.
To generate a symbol:
u32 KxuNuRand::getRandom() { const Distribution& dist = mDist[mRand>getRandomInRange( mDist.size() )]; return ( mRand>getRandom() <= dist.mProb ) ? dist.mA : dist.mB; }
Decomposing a NonUniform Distribution
// Since we are using fixed point math, we first implement // a fixed 0.32 point inversion: 1/(n1) #define DIST_INV( n ) ( 0xFFFFFFFF/( (n)  1 )) KxuNuRand::KxuNuRand( const KxVector<u32>& dist, KxuRandUniform* rand ) { mRand = rand; if ( dist.size() == 1 ) { // handle a the special case of just one symbol. mDist.insert( Distribution( 0, 0, 0 )); } else { // The nonuniform distribution is passed in as an argument to the // constructor. This is a series of integers in the desired proportions. // Normalize these into a series of probabilities that sum to 1, expressed // in 0.32 fixed point. KxVector<u32> p; p = dist; normProbs( p ); // Then we count up the number of nonzero probabilities so that we can // figure out the number of distributions we need. u32 numDistros = 0; for ( u32 i = 0; i < p.size(); i++ ) if ( p[i] ) numDistros++; if ( numDistros < 2 ) numDistros = 2; u32 thresh = DIST_INV( numDistros ); // reserve space for the distributions. mDist.resize( numDistros  1 ); u32 aIdx = 0; u32 bIdx = 0; for ( u32 i = 0; i < mDist.size(); i++ ) { // find a small prob, nonzero preferred while ( aIdx < p.size()1 ) { if (( p[aIdx] < thresh ) && p[aIdx] ) break; aIdx++; } if ( p[aIdx] >= thresh ) { aIdx = 0; while ( aIdx < p.size()1 ) { if ( p[aIdx] < thresh ) break; aIdx++; } } // find a prob that is not aIdx, and the sum is more than thresh. while ( bIdx < p.size()1 ) { if ( bIdx == aIdx ) { bIdx++; continue; } // can't be aIdx if ((( p[aIdx] >> 1 ) + ( p[bIdx] >> 1 )) >= ( thresh >> 1 )) break; bIdx++; // find a sum big enough or equal } // We've selected 2 symbols, at indexes aIdx, and bIdx. // This function will initialize a new binary distribution, and make // the appropriate adjustments to the input nonuniform distribution. computeBiDist( p, numDistros, mDist[i], aIdx, bIdx ); if (( bIdx < aIdx ) && ( p[bIdx] < thresh )) aIdx = bIdx; else aIdx++; } } }
This is the function that creates a new binary distribution. We’ve already described the algorithm. The only wrinkle here is doing it in fixed point:
static void computeBiDist( KxVector<u32>& p, u32 n, Distribution& dist, u32 aIdx, u32 bIdx ) { dist.mA = aIdx; dist.mB = bIdx; if ( aIdx == bIdx ) { dist.mProb = 0; } else { if ((( p[aIdx] >> 1 ) * ( n  1 )) >= 0x80000000 ) dist.mProb = 0xFFFFFFFF; else dist.mProb = p[aIdx] * ( n  1 ); p[bIdx] = ( DIST_INV( n )  p[aIdx] ); } p[aIdx] = 0; }
And finally this function normalizes a set of integer to create a set of probabilities that sum to 1, expressed in 0.32 fixed point:
static void normProbs( KxVector<u32>& probs ) { u32 scale = 0; u32 err = 0; u32 shift = 0; u32 max = 0; u32 maxIdx = 0; // how many nonzero probabilities? u32 numNonZero = 0; for ( u32 i = 0; i < probs.size(); i++ ) if ( probs[i] ) numNonZero++; if ( numNonZero == 0 ) { // degenerate all zero probability array. // Can't do anything with it... result is undefined assert(0); return; } if ( numNonZero == 1 ) { // trivial case with only one real prob  handle special because // computation would overflow below anyway. for ( u32 i = 0; i < probs.size(); i++ ) probs[i] = probs[i] ? U32_MAX : 0; return; } // figure out the scale again: for ( u32 i = 0; i < probs.size(); i++ ) scale += (( probs[i] << shift ) >> 8 ); if (( scale < 0xFFFF ) && ( shift < 24 )) { shift += 8; goto again; } assert( scale ); scale = 0x10000000 / (( scale + 0x7FF ) >> 12 ); // apply it for ( u32 i = 0; i < probs.size(); i++ ) { probs[i] = ((( probs[i] << shift ) + 0x7FFF ) >> 16 ) * scale; err += probs[i]; if ( probs[i] > max ) { max = probs[i]; maxIdx = i; } } // correct any accumulated error  it should be negligible. Add it // to the largest probability where it will be least noticed. probs[maxIdx] = err; }
Some Performance Metrics
My friend Roger Gonzalez implemented a version of this algorithm in Javascript and produced some performance graphs comparing it to other methods.
The table shows simply that the binary distribution method does not slow down as the size of the distribution increases.
Resources:
NonUniform Distributions  Roger Gonzalez’ implementation of this algorithm in Javascript 
Darts, Dice, and Coins: Sampling from a Discrete Distribution  Keith Schwartz’ detailed explanation and proofs for this algorithm and a java implementation 
ransampl  Joachim Wuttke’s implementation of the alias method in c 
Alias method  Wikipedia’s entry on the alias method 
New fast method for generating discrete random numbers with arbitrary frequency distributions  A. J. Walker’s original 1974 paper on this method 
An Efficient Method for Generating Discrete Random Variables with General Distributions  A. J. Walker’s 1977 paper on this method 
I really like the technique of breaking down a distribution into multiple binary distributions. I can see how to make it work, but I’d like to find out more background on it. Where did you come across it? Are there some good references I should read?
The basic idea behind this technique was suggested to me in the 1990’s by a more experienced engineer, Topher Cooper. Perhaps he knows more about its theoretical origins.
You’re awesome Rafael! Thank you for this!!
Now subscribed to your blog.
P.S. Something is not clear about the interpretation, but I wonder if it was a typo?
You said,
“In this case if the number is smaller or equal 0.20 generate B, otherwise generate E.”
but the distribution (on line 2) for B/E was B/E: 0.40/0.60
So shouldn’t that be “if the number is smaller or equal 0.40 generate B, otherwise generate E.”?
Please clarify? I am trying to implement something similar as well! Thanks
You are correct that is a typo.
Hi, sorry to bother you but could you please help me clarify the question in the above comment?
Shouldn’t the naive approach use gcd and not lcm?
Nice article.
This is a great approach but how would this work ‘without replacement’? Would you have to constantly decompose the new probability distribution?