Generating Gamma and Cauchy Random Variables: An Extension to the Naval Postgraduate School Random Number Package

Abstract

Two very efficient algorithms for generating pseudorandom numbers from the gamma distribution have been developed; in the present work these are combined with a third method to produce a combination generator capable of excellent performance for any order of gamma variate. The algorithms are briefly described and an IBM 360 Assembler implementation of them is described and tested. A second computer program for the generation of pseudorandom Cauchy deviates is presented; this program uses a new algorithm which is also described.

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Document Details

Document Type
Technical Report
Publication Date
Apr 01, 1975
Accession Number
ADA057230

Entities

People

  • David W. Robinson
  • Peter A. W. Lewis

Organizations

  • Naval Postgraduate School

Tags

Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Algorithms
  • Computations
  • Computer Programming
  • Computer Programs
  • Computer Science
  • Computers
  • Data Science
  • Industrial Engineering
  • Information Science
  • Mathematics
  • Military Research
  • Operations Research
  • Probability
  • Random Variables
  • Standards
  • Statistics
  • Systems Engineering

Fields of Study

  • Computer science

Readers

  • Computer Programming and Software Development.
  • Computer Science.
  • Statistical inference.