Pseudorandom Number Generators

Publication year: 2012
Source: Exploring Monte Carlo Methods, 2012, Pages 47-68

William L., Dunn , J. Kenneth, Shultis

 Summary: The reliance on pseudorandom numbers in MC analyses is discussed. The linear congruential pseudorandom generator is introduced and properties, tests, and parameters for the “best” generators are presented. A minimal standard prime modulus congruential generator that can be coded on 32-bit machines is given. This generator is used thoughout the book for all examples. The concepts of skipping ahead in the pseudorandom number sequence and of combining generators are discussed. Finally, other proposed pseudorandom generators are presented.Keyword: pseudorandom numbers; linear congruential generators; optimal generators; coding the generator; test for randomness; non-linear congruential generators; recursive generators.