A METHOD FOR PRODUCING RANDOM VARIABLES IN A COMPUTER.
Abstract
This paper describes a general procedure for producing random variables in a computer. The idea is to represent the required X in the form: X = C (M + U sub 1 + U sub 2 + U sub 3), some 97 - 99% of the time, where c is constant, M is a discrete random variable taking perhaps 8 values, and the U's are uniform random variables; the other 1 - 3% of the time. X is generated from a residual density by the rejection technique. These two methods for producing X are combined in the proper proportions in order that the resulting distribution for X be correct. The method is general in that it applies to a wide variety of density functions. Programs based on this procedure are very fast and require little computer storage space - typically, 18 constants and 20 instructions. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Feb 01, 1964
- Accession Number
- AD0601118
Entities
People
- George Marsaglia
Organizations
- Boeing