Scribd
Upload
55 views9 pages

Random Number Generation Techniques

This document discusses random number generation and testing. It introduces linear congruential generators (LCG) using the formula Zi = (a Zi-1 +c) mod (m) and describes how to select parameters m, a, and c. An example LCG is provided that does not work because it violates the condition that a=4k+1. Methods for testing random number generators for independence and uniformity are outlined, including the runs test, runs above/below median test, Kolmogorov-Smirnov test, and chi-square test. The inverse transformation method for generating random variates from continuous distributions using the cumulative distribution function is also summarized.

Uploaded by

jegosss
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd
55 views9 pages

Random Number Generation Techniques

This document discusses random number generation and testing. It introduces linear congruential generators (LCG) using the formula Zi = (a Zi-1 +c) mod (m) and describes how to select parameters m, a, and c. An example LCG is provided that does not work because it violates the condition that a=4k+1. Methods for testing random number generators for independence and uniformity are outlined, including the runs test, runs above/below median test, Kolmogorov-Smirnov test, and chi-square test. The inverse transformation method for generating random variates from continuous distributions using the cumulative distribution function is also summarized.

Uploaded by

jegosss
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PPT, PDF, TXT or read online on Scribd

RANDOM NUMBER GENERATION

Week 3
Kelton text (Ch. 12)
GE-703 Kumpaty

Generating Random Numbers


LCG (linear congruential generators)
Zi
= (a Zi-1 +c) mod (m)
Mixed (above); Multiplicative when c=0.
Seed value Z0
Maximum cycle length achieved is m.
Promodel uses a=630360016 c=0 and
m=231-1 prime modulus multiplicative LCG
Arena (used to have same m, c, a=16807)
Cycle length in 100 unique streams

Generating Random Numbers


Zi = (a Zi-1 +c) mod (m) Guidelines for selection of m,a and c.

Random Number Generators


Will the following LCG work?
Zi = (12Zi-1+5) mod (32) with Z0 = 29

i
0
1
2
3
4
5

Zi
29
1
17
17
17
17

It wont work because a=4k+1 is violated.

Testing Random Number Generators


1. Testing for independence
Hypothesis:
H0: Ui values from the generator are
independent (Ui for uniform distr. Zi/m)
H1: Ui values from the generator are not
independent
Specified significance level
The Runs test
The Runs Above and Below the Median Test
The Runs Up and Runs Down Test

Testing Random Number Generators


2. Testing for uniformity/homogeneity
Hypothesis:
H0: Ui values are uniform
H1: Ui values are not uniform
Specified significance level
The Kolmogorov-Smirnov test
The Chi-Square test
Will do in Chapter 6

Generating Random Variates


Inverse Transformation Method
CONTINOUS Distributions
f(x) probability distribution function
F(x) cumulative distribution function,
F(x) =P(X<=x)
Set U= F(x) where U is uniform (0,1) and
solve for x.
x= F-1(U); x is the random variate

Cumulative Distribution function for


Uniform Distribution
Pr (0 x x0) = F(x0) = a x0 1/(b-a) dx
F(x0) = (x0-a)/(b-a)
Also if the cumulative probability F(x0) is known
we can also determine x0 as
x0 = a+(b-a) F(x0)
Example: b=7; a=4; given F(x0)=0.53, x0 =5.59

Cumulative Distribution function for


Exponential Distribution
Pr (0 x x0) = F(x0) = 0 x0 b e-bx dx
F(x0) = - e-bx 0|x0 = 1 - e-bx0
Also if the cumulative probability F(x0) is known
we can also determine x0 as
x0 = (-1/b) ln(1 F(x0))
Please note (1/b) is the mean of the exponential
distribution.

You might also like