How to improve a random number generator

DOI10.1016/S0010-4655(99)00434-8MaRDI QIDQ1971517zbMATH OpenOpenAlexFDO

Authors Ana Proykova

Publication date 6 December 2000

Published in Computer Physics Communications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0010-4655(99)00434-8

zbMATH Keywords

autocorrelationnumerical examplespseudo-random numbersrandom number generationrandom walk

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Sums of independent random variables; random walks (60G50) Random number generation in numerical analysis (65C10)

Review text

Numerical experiments with random walking indicate the sensitivity of the results on the autocorrelation of the used (pseudo)random numbers. The author experiment with the double randomization technique. This technique uses one generator to produce a large array of random numbers. A second generator (not necesarily a different one) samples numbers from the array. Experiments are performed with various combinations of generators. The results of random walking experiments using the numbers are used as the indicator of the quality of such tools. The conclusion, not surprising, is that the quality depends mainly on the quality of the generator filling the array. One combination of generators has very good results. The paper presents no formal tests. All its conclusions are based on the diagrams showing graphically the results of the random walk experiments.

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