Random Number Generation
Random number generators
- subroutines that provide a new random deviate with each call
- basic generators give value on (0,1) with uniform probability
- uses a deterministic algorithm (of course)
usually involves multiplication and truncation of leading bits of a number
Returns set of numbers that meet many statistical measures of randomness
- histogram is uniform
- no systematic correlation of deviates
no idea what next value will be from knowledge of present value (without knowing generation algorithm)
but eventually, the series must end up repeating
Some famous failures
- be careful to use a good quality generator
linear congruential sequence
Plot of successive deviates (Xn,Xn+1)