A tutorial on uniform variate generation

In typical stochastic simulations, randomness is produced by generating a sequence of independent uniform variates (usually real-valued between 0 and 1, or integer-valued in some interval) and transforming them in the appropriate way. In this tutorial, we examine practical ways of generating such va...

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Bibliographic Details
Published in:	Proceedings of the 21st conference on Winter simulation pp. 40 - 49
Main Author:	L'Ecuyer, P.
Format:	Conference Proceeding
Language:	English
Published:	New York, NY, USA ACM 01.10.1989
Series:	ACM Conferences
Subjects:	Computing methodologies > Modeling and simulation Mathematics of computing > Mathematical analysis > Numerical analysis > Computations on matrices Mathematics of computing > Mathematical analysis > Numerical analysis > Computations on polynomials Mathematics of computing > Probability and statistics > Probabilistic reasoning algorithms > Random number generation
ISBN:	0911801588, 9780911801583
Online Access:	Get full text
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Summary:	In typical stochastic simulations, randomness is produced by generating a sequence of independent uniform variates (usually real-valued between 0 and 1, or integer-valued in some interval) and transforming them in the appropriate way. In this tutorial, we examine practical ways of generating such variates on a computer. We compare them in terms of ease of implementation, efficiency, flexibility, theoretical support, and statistical robustness. We look in particular at the following classes of generators: linear congruential (in scalar and matrix form), lagged-Fibonacci (including generalized feedback shift register) and combined. We also mention others and give a bibliographic survey of the most recent papers on the subject.
Bibliography:	SourceType-Conference Papers & Proceedings-1 ObjectType-Conference Paper-1 content type line 25
ISBN:	0911801588 9780911801583
DOI:	10.1145/76738.76744