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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| Veröffentlicht in: | Proceedings of the 21st conference on Winter simulation S. 40 - 49 |
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| 1. Verfasser: | |
| Format: | Tagungsbericht |
| Sprache: | Englisch |
| Veröffentlicht: |
New York, NY, USA
ACM
01.10.1989
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| Schriftenreihe: | ACM Conferences |
| Schlagworte: | |
| ISBN: | 0911801588, 9780911801583 |
| Online-Zugang: | Volltext |
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| Zusammenfassung: | 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. |
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| Bibliographie: | SourceType-Conference Papers & Proceedings-1 ObjectType-Conference Paper-1 content type line 25 |
| ISBN: | 0911801588 9780911801583 |
| DOI: | 10.1145/76738.76744 |