Generating Random Numbers

 Consider two binary sequences

◦ Sequence 1 -- 010101010101
◦ Sequence 2 -- 010001010110
 Which one is more random?
 Note that although sequence 2 seems to be

more random, you have the same probability

for obtaining these 2 sequences when you
throw a coin 12 times.
 This example shows that a definition based

purely on probability is not enough.

 No practical definition for defining what is a
true random sequence
 In complexity theory, a binary sequence is

considered random if its complexity is not

smaller than its length.
 For example,

◦ for sequence 1 of previous slide, the pseudocode:

Print “01” 6 times
◦ for sequence 2, the pseudocode: Print
“010001010110”
 How about if the length of sequence is
10000?
 For practical purpose, we will instead
consider that a sequence is random if it is
uncorrelated between its subsequences of
any length.
 Algorithm used in producing a sequence
which is virtually indistinguishable from
random sequence
 i.e. it cannot be identified by using statistical

tests
 Note that the sequences generated by a

pseudo-random number generator is not real

random sequence since the algorithm itself
defines one of the correlations
 (Refer back to complexity definition)
 This algorithm follows the recurrence
relation:

 For example, take a = 4, c = 3, s0 = 7. m = 7,

the first 9 digit is 3, 1, 0, 3, 1, 0, 3, 1, 0
 The conditions for achieving full period are

listed in the note.

 Length of full period = m
 The n-tuples are confined into planes in

hyper cube.
 Generalizing Linear Congruential Generator
we have

 In practice, we use the following equation

 By taking , the period can be as long

as
 lagged fibonacci44497 in Boost Random
Number Library Generators used p = 44497
and q = 21034 and “+” as operation and
provided a period of the order

 We can also have the “exclusive-or” and

“multiplication” operation.
 “exclusive-or” performs poorly unless for a
large p
 “multiplication” requires more memory in
storing the multiplied values
 Mersenne Twister follows the following linear
recurrence:


 A specific parameter set called MT19937
produced a period of
 MT19937 passed all diehard tests
 It is a high quality pseudo-random number

generator.
 The importance of random seed

• As shown previously, all pseudo-random number

generator generates a number sequence using a recurrence
relation.
• An initial value of the number sequence, called seed, must
be provided.
• Most program with random number generator assume a
static value for the seed, i.e. if you do not set the seed
value, then you get the same “random numbers”
everytime.
• So, remember to set seed.
 The importance of random seed

• Usually people use computer clock as seed for its

uniqueness
• But when the program is run on multiple machine, they
would have the same seed if the starting time is the same.
• Provide some delays if you use computer clock as seed.
• If you use another random number sequence as seed, be
sure that you use the random number sequence from other
pseudo-random number generator
 Definition of k-tuple:

 si is the element of a number sequence n

 If the sequence is “random” enough, we

would expect a uniform distribution of the k-

tuples over the k-dimensional hypercube.
 Linear Congruential Generator, it is known

that the k-tuples fall only on a small number

of hyperplane Nk, of order km1/k
 Random Numbers

• Uniform Random Numbers

– rand('seed',n), rand(n), rand(m,n)
– Interval 0 to 1
– Interval a to b
• x = (b - a)*r + a;
• Gaussian Random numbers
– randn('seed',n), randn(n), randn(m,n)
– Normal Distribution
• Mean = 0, Standard Deviation = 1.0
– Modified Distribution
• Mean = b, Standard Deviation = a
• x = a*r + b;

13
 New MATLAB Function

• rand() - Uniformly distributed random numbers and arrays

• Ex of syntax:
– A = rand(n)
– A = rand(m,n)
• Where m and n are dimensions of the matrix
 Rand() con’t: 2

• Scalars may be generated

– Ex. A = rand(1,1);

• Vectors may be generated

– Ex. A = rand(10,1);
 Rand() con’t: 3

• Generated random numbers will be between 0 and 1.

• Scaling can be done by multiplying the resulting matrix or

vector by the number you wish to scale with
 Mean, Variance, Standard Deviation
n

å xi
• Mean: m= i= 1
n
– mean(x)

å ( xi - m) 2
• Variance: s2= i= 1

– mean((x-mean(x).*(x-mean(x)))
n

å ( xi - m) 2
• Standard Deviation s = i= 1
n
– std(x)
 Correlation Coefficient

s XY
• Correlation coefficient r=
s Xs Y
function r = corco(x,y)

mx = mean(x);
my = mean(y);
covxy = mean((x-mx).*(y-my));
r = covxy/(std(x)*std(y));

• Or use Matlab function

– corrcoef
 Random Numbers

• rand(M,N): MxN matrix of uniformly distributed

random numbers on (0,1)

• randn(M,N) MxN matrix of normally distributed

random numbers (μ=0, σ2=1)

• normrnd(m,s,M,N) MxN matrix of normally distributed

random numbers (μ=m, σ=s)
x=randn(1,10000);
mean((x<=1))
ans =
0.8449
F (1) = 0.8413
 Correlation Coefficient

X  N (0,1) x=normrnd(0,1,1,100);
y=2*x+1;
Y  aX  b r=corrcoef(x.',y.')
 1 plot(x,y,'+')

N  N (0,1) n=normrnd(0,1,1,100);
y=2*x+1+n;
Y  aX  b  N r=corrcoef(x.',y.')
  0.9186 plot(x,y,'+')
 Joint Gaussian

1  ( x  m1 )2 ( y  m2 )2 2  ( x  m1 )( y  m2 ) 
  
1 2 
2(1  )   1 2
2 2  1 2


f X ,Y ( x, y )  e
2 1 2 (1   )
2

 0
 Joint Gaussian

  0.5
 Joint Gaussian

  0.9
 Joint Gaussian

  0.9
 Generating Random Numbers
Uniform
ìï 0 x< a
ïï
ì 1 ïï x - a
f ( x) = ïí a£ x£ b F ( x) = í a£ x£ b
ïïî b - a ïï b - a
ïï
ïî 1 b< x

1. Generate U : U (0,1)

2. Return X = a + (b - a)U
 Uniform

a = 10 b = 15
function genuni(N,a,b)
u=rand(1,N);
x=a+(b-a).*u;

minx=min(x);
maxx=max(x);
NumBins=51;
h=hist(x,NumBins);
for k=1:NumBins,
bincenters(k)=minx+((maxx-
minx)/NumBins)*(k-1/2);
end
h=h/sum(h);
bar(bincenters,h)

Or use Matlab function unifrnd(a,b,M,N)

 Generating Random Numbers
Exponential

ìï 1- e- l x x³ 0
f ( x) = { l e - lx
x³ 0 F ( x) = ïí
ïïî 0 x< 0

1. Generate U : U (0,1)
2. Return 1
X = - ln(1- U )
l
 Exponential

l =5
function genexp(N,lambda)
u=rand(1,N);
x=-1/lambda.*log(1-u);

Or use Matlab function exprnd(lambda,M,N)

 Generating Random Numbers
Normal

( x- m)2 x ( x- m)2
1 - 1 -
f ( x) =
2ps
e 2s 2
- ¥ < x< ¥ F ( x) = ò 2ps
e 2s 2
- ¥ < x< ¥
- ¥

Rayleigh
ìï x2
x -
x2 ïï 1- e- 2s 2
x³ 0
f ( x) = e 2s 2
, x³ 0 F ( x) = í
s 2 ïï
ïî 0 x< 0

1. Generate U1 : U (0,1)
æ 1 ö
÷
2. Set Z= 2s ln çç
2
÷
÷
çè1- U ÷
1ø
3. Generate U 2 : U (0,1)
4. Return X 1 = m+ Z cos(2pU 2 ) X 2 = m+ Z sin(2pU 2 )
 Normal

m = 10 s 2 = 4
function gennormal(N,mu,sigma)

for i=1:N
u=rand; z=sigma*(sqrt(2*log(1/(1-
u))));
u=rand;
x1(i)=mu+z*cos(2*pi*u);
x2(i)=mu+z*sin(2*pi*u);
end

Or use Matlab function normrnd(mu,sigma,M,N)

 Generating Random Numbers
Binomial
ìï 0 k< 0
ïï
ænö ïï k ænö
p(k ) = çç ÷ ÷
÷ p k
(1 - p ) n- k
k = 0,1,..., n F (k ) = í å çç ÷ ÷ p i
(1 - p ) n- i
0£ k £ n
çèk ø
÷ ïï i= 0 çèi ø÷
÷
ïï
ïïî 1 k> n

1. Generate Y1 , Y2 ,..., Yn IID Bernoulli(p) random numbers

2. Return X = Y1 + Y2 + ... + Yn
 Binomial

n = 20 p = 0.5
function genbino(N,n,p)

for i=1:N,
u=rand(1,n);
y=(u<=p);
x(i)=sum(y);
end

Or use Matlab function binornd(n,p,M,N)

 Generating Random Numbers
Geometric

ìï 1- (1- p) k k³ 1
p(k ) = (1- p ) k- 1
p k = 1, 2,... F (k ) = ïí
ïïî 0 k<1

1. Generate U : U (0,1)
éln(1- U ) ù
2. Return X= ê ú
êln(1- p) ú
ê ú
 Geometric

p = 0.5
function gengeo(N,p)

u=rand(1,N);
x=ceil(log(1-u)/log(1-p));

Or use Matlab function geornd(p,M,N)

 Generating Random Numbers
Poisson

ìï 0 k< 0
k
l -l ïï
p(k ) = e , k = 0,1,... F (k ) = í k l i - l
k! ïï å e k³ 0
ïïî i= 0 i !

1. Set k = 0, P = 1
2. Generate U k + 1 : U (0,1) and replace P by P ×U k + 1
3. If P < e- l accept X = k else increase k by one and return to
step 2
 Poisson

l =5
function genpois(N,lambda)

for i=1:N,
k=0;p=1;
u=rand;
p=p*u;
while p>=exp(-lambda)
u=rand;
p=p*u;
k=k+1;
end
x(i)=k;
end

Or use Matlab function poissrnd(lambda,M,N)

 Example of a MATLAB script
% script randscript
% A simple script to generate a vector of n
% random numbers. We calculate the numbers
% using (a) for loops, and (b) a direct function call.
%
% Professor Smyth, Oct 2007

Comment text: it is always

important to put comments
in your code. Comments at
the top should clearly explain
what the script or function does
 Example of a MATLAB script
% script randsum
% A simple script to generate a vector of n
% random numbers. We calculate the numbers
% using (a) for loops, and (b) a direct function call.
%
% Professor Smyth, Oct 2007

n = 100000; % the number of points for the "for loop”

y = zeros(n,1); % preallocate memory for y
fprintf('Simulating %d random numbers.....\n\n',n);

Initialize various variables

Print out some information to the screen

 Example of a MATLAB script
% script randsum
% A simple script to generate a vector of n
% random numbers. We calculate the numbers
% using (a) for loops, and (b) a direct function call.
%
% Professor Smyth, Oct 2007

n = 100000; % the number of points for the "for loop”

y = zeros(n,1); % preallocate memory for y
fprintf('Simulating %d random numbers.....\n\n',n);

% first do the calculation using a "for loop"

fprintf('For loop calculations.....\n'); (1) Calculate the n random numbers
tic % set the timer and their sum using a for loop,
for i=1:n
y(i) = rand(1);
(2) record the time taken,
end and (3) print to the screen
total = sum(y);
fprintf('Sum of %d random numbers = %f\n',n,total);
t1 = toc; % read the time elapsed since "tic" (in seconds)
fprintf('Time taken, using for loop = %6.5f microseconds\n\n', (t1)*1000);

…...
 Example of a MATLAB script
………
…
% now do the calculation using vectorization
fprintf('Vectorization calculations.....\n');

tic % reset the timer

z = rand(n,1);
total = sum(z);

fprintf('Sum of %d random numbers = %f\n',n,total);

t2 = toc; % read the time elapsed since "tic" (in seconds)
fprintf('Time taken, using vectorization = %6.5f microseconds\n', (t2)*1000);

(1) Now calculate n random numbers

and their sum using a direct function call
(2) record the time taken,
and (3) print to the screen
 MATLAB random number generator

• Function rand.m

• Generates a sequence (of length n) of pseudorandom numbers:

– sequence generation: x(i) = mod(a * x(i-1), m)
– initialized with a state (“seed”) value for x(0)
» help rand

RAND Uniformly distributed random numbers.

RAND produces pseudo-random numbers. The sequence of numbers

generated is determined by the state of the generator. Since MATLAB
resets the state at start-up, the sequence of numbers generated will
be the same unless the state is changed.

S = RAND('state') is a 35-element vector containing the current state

of the uniform generator. RAND('state',S) resets the state to S.
RAND('state',0) resets the generator to its initial state.
RAND('state',J), for integer J, resets the generator to its J-th state.
RAND('state',sum(100*clock)) resets it to a different state each time.

This generator can generate all the floating point numbers in the
closed interval [2^(-53), 1-2^(-53)]. Theoretically, it can generate
over 2^1492 values before repeating itself.
 Example of a MATLAB function
function [sum, difference] = sumdiff(a, b);

List of
input argument values,
Name of the comma delimited
function (any form of array
List of output data type)
Tells MATLAB this values returned
is a function (can be any form of
array data type)
 Example of a MATLAB function
function [sum, difference] = sumdiff(a, b);
% function [sum, difference] = sumdiff(a, b);
%
% A simple function to compute the sum and difference
% of two input arguments a and b
%
% Professor Smyth, Oct 2007
%
% INPUTS:
% a: array of size r x c
% b: array of size r x c
%
% OUTPUTS:
% sum: a + b
% difference: a - b

Clear comments in function headers are

very useful

Note the explicit statement explaining

what the inputs and outputs are
(including their dimensionality)
 Example of a MATLAB function
function [sum, difference] = sumdiff(a, b);
% function [sum, difference] = sumdiff(a, b);
%
% A simple function to compute the sum and difference
% of two input arguments a and b
%
% Professor Smyth, Oct 2007
%
……………..
Error checking is always a good
% error checking idea!
[rowsa, colsa] = size(a);
[rowsb, colsb] = size(b);
if ( rowsa ~= rowsb ) | ( colsa ~= colsb)
error(‘sizes of a and b do not match’);
end
 Example of a MATLAB function
function [sum, difference] = sumdiff(a, b);
% function [sum, difference] = sumdiff(a, b);
%
% A simple function to compute the sum and difference
% of two input arguments a and b
%
% Professor Smyth, Oct 2007
%
……………..

% error checking
[rowsa, colsa] = size(a);
[rowsb, colsb] = size(b);
if ( rowsa ~= rowsb ) | ( colsa ~= colsb)
error(‘sizes of a and b do not match’);
end

sum = a + b; Finally, the actual computational

difference = a – b; part of the function
 MATLAB functions in general
• Function line definition
– required of all functions

• List of inputs and outputs

– comma delimited: [y, z] = average(a, b, c)
– for more than one output, outputs are enclosed in square brackets

• Input variables
– variables within function are local to the function
– input variables are readable to the function, but not writable
– values of returned arguments are passed back

• Search path
– MATLAB searches in this order:
• variable name, subfunction, current directory, MATLAB search path
 Example of a MATLAB function
function [meanr, stdr, z] = simulate(n);

List of
input argument values,
Name of the comma delimited
function (any form of array
List of output data type)
Tells MATLAB this values returned
is a function (can be any form of
array data type)
 Example of a MATLAB function
function [meanr, stdr, z] = simulate(n);
% function [meanr, stdr, z] = simulate(n);
%
% A simple function to simulate a vector of n
% uniformly distributed random numbers and return the
% mean and standard deviation of the numbers.
%
% Professor Smyth, Oct 2007
%
% INPUTS:
% n: number of random numbers generated (positive integer)
%
% OUTPUTS:
% meanr: mean of the n random numbers
% stdr: standard deviation of the random numbers
% z: an n x 1 array of random numbers
 Example of a MATLAB function
function [meanr, stdr, z] = simulate(n);
% function [meanr, stdr, z] = simulate(n);
%
% A simple function to simulate a vector of n
% uniformly distributed random numbers and return the
% mean and standard deviation of the numbers.
%
% Professor Smyth, Oct 2007
%
% INPUTS:
% n: number of random numbers generated (positive integer)
%
% OUTPUTS:
% meanr: mean of the n random numbers
% stdr: standard deviation of the random numbers
% z: an n x 1 array of random numbers

% simple error checking to check n is a positive integer

if (rem(n,1)~=0) | n<=0
error('Input n must be a positive integer');
end
 Example of a MATLAB function
….
…

fprintf('Simulating %d random numbers.....\n\n',n);

% generate the n random numbers

z = rand(n,1);

% calculate the mean and standard deviation

meanr= mean(z);
fprintf('Mean of the %d random numbers = %f\n',n,meanr);
stdr= std(z);
fprintf('Standard deviation of the %d random numbers = %f\n',n,stdr);

Simulate the random numbers and

print out the results.

No need for an explicit return statement

Any values not returned are known only

locally to the function
 Creating a MATLAB function

In-class illustration of how to create and use a MATLAB

function
 Calling the MATLAB function
» [m, s] = simulate(1000000);
Simulating 1000000 random numbers.....

Mean of the 1000000 random numbers = 0.499702

Standard deviation of the 1000000 random numbers = 0.499702
» [m, s] = simulate(1000000);
Simulating 1000000 random numbers.....

Mean of the 1000000 random numbers = 0.499684

Standard deviation of the 1000000 random numbers = 0.288456

»m
m = 0.4997

»s
s = 0.2885
 Another MATLAB function
function [meanr, stdr, z] = simplot(n,plotflag);
% function [meanr, stdr, z] = simplot(n,plotflag);
%
% A simple function to simulate a vector of n
% uniformly distributed random numbers and return the
% mean and standard deviation of the numbers. If
% plotflag is 1 a histogram of the numbers is plotted
%
% Professor Smyth, Oct 2007
%
% INPUTS:
% n: number of random numbers generated (positive integer)
% plotflag: if plotflag=1, a histogram of z is plotted,
% otherwise no plotting
%
% OUTPUTS:
% meanr: mean of the n random numbers
% stdr: standard deviation of the random numbers
% z: an n x 1 array of random numbers

% simple error checking to check n is a positive integer

if (rem(n,1)~=0) | n<=0
error('Input n must be a positive integer');
end
 Simplot.m continued
fprintf('Simulating %d random numbers.....\n\n',n);

% generate the n random numbers

z = rand(n,1);

% calculate the mean and standard deviation

meanr= mean(z);
fprintf('Mean of the %d random numbers = %f\n',n,meanr);
stdr= std(z);
fprintf('Standard deviation of the %d random numbers = %f\n',n,stdr);

if nargin>1 & plotflag==1

figure Here is the new code.
hist(z, max(n/100,10))
end
Nargin is the number of input variables

If we have a 2nd input and it equals 1,

then we plot a histogram of the random numbers

syntax: hist(data vector, number of bins)

 Demonstration: plotting of sample mean as a function of n

• Extend simplot.m (call it simplot2.m)

– for each value of i = 1 to n, calculate
• mean(i) = [sum (x(i)…… x(i)) ]/I
• use vectorization to do this
• mean(i) should converge to the true mean 0.5 as i gets large
– why? “law of large numbers” from statistics

– illustration of the use of the online debugger

– we can plot this to visualize it

– various additional plotting features

• grids, log axes, labels, titles
 Code that was added to simplot.m

if nargin>1 & plotflag==1

figure % figure for a histogram to see how uniform the numbers are
hist(z,max(n/100,10))

figure % figure to see visually how the sample mean converges to 0.5
cs = cumsum(z); % generate a vector of cumulative sums
nvalues = 1:n; % generate a vector of sample sizes
runningmean = cs./nvalues; % there’s an error here (on purpose)
plot(nvaluess,runningmean); % and another error here

grid;
axis([1 n 0 1]);
xlabel('Number of random numbers generated');
ylabel('Mean value');
title('Convergence of sample mean to true mean');

end
 Code that was added to simplot.m

if nargin>1 & plotflag==1

figure % figure for a histogram to see how uniform the numbers are
hist(z,max(n/100,10))

figure % figure to see visually how the sample mean converges to 0.5
cs = cumsum(z); % generate a vector of cumulative sums
nvalues = 1:n; % generate a vector of sample sizes
runningmean = cs./nvalues; % there’s an error here (on purpose)
plot(nvaluess,runningmean); % and another error here
%correct code:
%runningmean = cs./nvalues';
%plot(nvalues, runningmean);

grid;
axis([1 n 0 1]);
xlabel('Number of random numbers generated');
ylabel('Mean value');
title('Convergence of sample mean to true mean');

end
Pseudo-random signal generation:
"rand" generates uniform PDF random numbers between 0 & 1.
Subtract 0.5 from each sample for zero mean & variance = 1/12.
To produce array of 100 samples of uniform PDF process with zero
mean & unit variance:.
x = (rand(100) - 0.5) * SQRT(12);

"randn" generates Gaussian PDF random numbers with zero mean

& unit variance. To generate 100 samples of such a process
x = randn(100);
White PSD over frequency range 0 to qifs / 2 Hz.
“1-sided” PSD for these samples is: 1 / ( qif s/ 2) Watts/Hz.
To produce 100 samples of AWGN (white between 0 & qifs/2) of
“1-sided” PSD N0 Watts/Hz :
x = randn(100) * sqrt ( N0 * qifs/2 );