Generation of Correlated Pseudo-Random Numbers for Monte Carlo Simulation.

Abstract

The purpose of this thesis is to develop specific analytical techniques which can be used to generate correlated sets of pseudo-random numbers from a specified joint normal distribution. A number of alternative transformation techniques are developed and discussed. The problem of generating correlated sets of zero/one Bernoulli pseudo-random numbers is also addressed. Techniques which are widely used for the generation of uncorrelated sets of pseudo-random numbers are briefly reviewed. These existing pseudo-random number generators are used to generate uncorrelated pseudo-random numbers which can be transformed to the desired set of correlated pseudo-random numbers. (Author)

Document Details

Document Type
Technical Report
Publication Date
May 01, 1971
Accession Number
AD0722593

Entities

People

  • J. L. Oplinger

Organizations

  • General Electric

Tags

DTIC Thesaurus Topics

  • Data Science
  • Demographic Cohorts
  • Generators
  • Information Science
  • Mathematics
  • Monte Carlo Method
  • Normal Distribution
  • Random Number Generators
  • Simulations

Readers

  • Computer Programming and Software Development.
  • Regression Analysis.