Book Chapter10.1007/978-3-642-21551-3_3
Random Number Generation
TL;DR: The main goal is to reproduce the statistical properties on which these methods are based, so that the Monte Carlo estimators behave as expected, whereas for gambling machines and cryptology, observing the sequence of output values for some time should provide no practical advantage for predicting the forthcoming numbers better than by just guessing at random.
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Abstract: The fields of probability and statistics are built over the abstract concepts of probability space and random variable. This has given rise to elegant and powerful mathematical theory, but exact implementation of these concepts on conventional computers seems impossible. In practice, random variables and other random objects are simulated by deterministic algorithms. The purpose of these algorithms is to produce sequences of numbers or objects whose behavior is very hard to distinguish from that of their “truly random” counterparts, at least for the application of interest. Key requirements may differ depending on the context.For Monte Carlo methods, the main goal is to reproduce the statistical properties on which these methods are based, so that the Monte Carlo estimators behave as expected, whereas for gambling machines and cryptology, observing the sequence of output values for some time should provide no practical advantage for predicting the forthcoming numbers better than by just guessing at random.
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Citations
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Averill M. Law,W. David Kelton +1 more
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TL;DR: The text is designed for a one-term or two-quarter course in simulation offered in departments of industrial engineering, business, computer science and operations research.
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An Introduction to Copulas
Roger B. Nelsen
- 01 Jan 1999
TL;DR: This book discusses the fundamental properties of copulas and some of their primary applications, which include the study of dependence and measures of association, and the construction of families of bivariate distributions.
8.7K
The Art in Computer Programming
Andrew Hunt,Dave Thomas +1 more
- 01 Jan 2001
TL;DR: Here the authors haven’t even started the project yet, and already they’re forced to answer many questions: what will this thing be named, what directory will it be in, what type of module is it, how should it be compiled, and so on.
Mersenne twister: a 623-dimensionally equidistributed uniform pseudo-random number generator
TL;DR: A new algorithm called Mersenne Twister (MT) is proposed for generating uniform pseudorandom numbers, which provides a super astronomical period of 2 and 623-dimensional equidistribution up to 32-bit accuracy, while using a working area of only 624 words.