Nonuniform Random Numbers

Paul Bratley, Bennett L. Fox and Linus E. Schrage
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Paul Bratley: Université de Montréal, Département d’informatique et de recherche opérationnelle
Bennett L. Fox: University of Colorado, Department of Mathematics
Linus E. Schrage: University of Chicago, Graduate School of Business

Chapter Chapter 5 in A Guide to Simulation, 1987, pp 145-191 from Springer

Abstract: Abstract In a typical simulation one needs a large number of random variates with the “proper” statistical properties. Chapter 4 provides background for deciding what is proper. We now consider the problem of generating these random variates artificially. All the methods to be presented for generating random variables transform uniformly distributed random variates. It might therefore seem logical to discuss first the generation of the latter. However, most computer languages have built-in functions for producing random variables uniform over the interval (0, 1), while only a few provide generators for nonuniform variates. Only when we become concerned about the finer points of true randomness do we wish to look more closely at generators of uniform random variates. Chapter 6 recommends methods for constructing such generators.

Keywords: Demand Point; Standard Normal Variate; Cauchy Distribution; Exponential Random Variable; Uniform Random Number (search for similar items in EconPapers)
Date: 1987
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DOI: 10.1007/978-1-4419-8724-2_5

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