TRANSFORMATION OF A SET OF PSEUDO-RANDOM NUMBERS INTO A SET REPRESENTING ANY DESIRED PROBABILITY AND CORRELATION.
Abstract
Many problems in engineering, economics, mathematics, and the sciences require investigations using digital simulations. Frequently the simulation of stochastic processes is required and is performed by a computer program which generates a pseudo-random sequence of numbers to represent random samples of the process. In general, it is not possible to control the probability and the correlation of the sequence at will. The objective of this report is the development of a general technique for digital generation of a set representing noise with independent control of the probability and t9 For this purpose, the set transformation method is developed and implemented in the computer subroutine identified as XFORM. A set of pseudo-random numbers is transformed into a second set which represents uncorrelated or correlated samples of any probability distribution. Existing methods of generating pseudo-random numbers representing uniform and nonuniform probability distributions, both uncorrelated and correlated, are reviewed. Two procedures for introducing correlation are developed. Two subroutines are developed to analyze random sets.
Document Details
- Document Type
- Technical Report
- Publication Date
- Dec 12, 1969
- Accession Number
- AD0704325
Entities
People
- Edward M. Holliday
Organizations
- United States Army Aviation and Missile Command