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sbRandCumulative
If you want to create a step-wise cumulative linear random number distribution then you can use my user defined function sbRandCumulative. If you are interested in how I came up with the algorithm, look at the page for my UDF sbRandGeneral, please.
The graphic shows a stratified sample of 10,000 runs.
Please read my Disclaimer.
Function sbRandCumulative(dMin As Double, dMax As Double, _
vXi As Variant, vWi As Variant, Optional dRandom = 1#) As Double
'Generates a random number, Cumulative distributed.
'Do not forget to run Randomize command from a calling VBA routine before you run this function.
'[see Vose: Risk Analysis, 2nd ed., p. 109]
'Source: https://berndplumhoff.gitbook.io/sulprobil/excel/excel-vba-solutions/sbrandcumulative
'(C) (P) by Bernd Plumhoff 23-Dec-2020 PB V0.50
'Similar to @RISK's (C) RiskCumulative function.
Dim i As Long
Dim dA As Double
Dim dRand As Double
Dim dSgn As Double
If vWi.Count <> vXi.Count Then
sbRandCumulative = CVErr(xlErrValue)
Exit Function
End If
ReDim dX(0 To vXi.Count + 1) As Double
ReDim dW(0 To vWi.Count + 1) As Double
dX(0) = dMin
dX(UBound(dX)) = dMax
dW(0) = 0#
dW(UBound(dW)) = 1#
For i = 1 To vXi.Count
dX(i) = vXi(i)
dW(i) = vWi(i)
If dW(i) < dW(i - 1) Then
'Weights need to be monotonously increasing
sbRandCumulative = CVErr(xlErrValue)
Exit Function
End If
Next i
If dW(UBound(dW)) < dW(UBound(dW) - 1) Then
'Weights need to be monotonously increasing
sbRandCumulative = CVErr(xlErrValue)
Exit Function
End If
'Calculate area
dA = 0#
For i = 0 To UBound(dX) - 1
If dX(i) >= dX(i + 1) Or dW(i) < 0# Then
sbRandCumulative = CVErr(xlErrValue)
Exit Function
End If
dA = dA + (dX(i + 1) - dX(i)) * (dW(i + 1) + dW(i)) / 2#
Next i
'Normalise weights to set area to 1
For i = 1 To UBound(dW)
dW(i) = dW(i) / dA
Next i
ReDim dF(0 To UBound(dX)) As Double
'Calculate border points of value ranges for
'cumulative inverse function
dF(0) = 0#
dA = 0#
For i = 0 To UBound(dX) - 1
dA = dA + (dX(i + 1) - dX(i)) * (dW(i + 1) + dW(i)) / 2#
dF(i + 1) = dA
Next i
If dRandom = 1# Then
dRand = Rnd()
Else
dRand = dRandom
End If
i = 1
Do While dF(i) <= dRand
i = i + 1
Loop
dSgn = Sgn(dW(i) - dW(i - 1))
If dSgn = 0# Then
sbRandCumulative = dX(i - 1) + (dRand - dF(i - 1)) / _
(dF(i) - dF(i - 1)) * (dX(i) - dX(i - 1))
Else
sbRandCumulative = dX(i - 1) + _
dSgn * Sqr((dRand - dF(i - 1)) * _
2# * (dX(i) - dX(i - 1)) / (dW(i) - dW(i - 1)) + _
(dW(i - 1) * (dX(i) - dX(i - 1)) / _
(dW(i) - dW(i - 1))) ^ 2#) - _
dW(i - 1) * (dX(i) - dX(i - 1)) / (dW(i) - dW(i - 1))
End If
End Function
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