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Nonuniform Random Numbers

  • Paul Bratley
  • Bennett L. Fox
  • Linus E. Schrage

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 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1987

Authors and Affiliations

  • Paul Bratley
    • 1
  • Bennett L. Fox
    • 2
  • Linus E. Schrage
    • 3
  1. 1.Département d’informatique et de recherche opérationnelleUniversité de MontréalMontréalCanada
  2. 2.Department of MathematicsUniversity of ColoradoDenverUSA
  3. 3.Graduate School of BusinessUniversity of ChicagoChicagoUSA

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