MT6702 Unit 2 Random Number Generation

RANDOM-NUMBER
GENERATION
BY
S.KANNAPPAN
AP-MTRE

INTRODUCTION
• Random numbers are a necessary basic ingredient in
the simulation of almost all discrete systems.
• Most computer languages have a subroutine, object,
or function that will generate a random number.
• Random numbers that are used to generate event
times and other random variables.

Properties of Random Numbers
• A sequence of random numbers, R1, R2... must
have two important statistical properties,
uniformity and independence.
• Each random number Ri, is an independent
sample drawn from a continuous uniform
distribution between 0 and 1.

• That is, the pdf is given by
• The density function is shown below:

• Some consequences of the uniformity and independence
properties are :
1. If the interval (0, 1) is divided into n classes, or
subintervals of equal length, the expected number of
observations m each interval is N/n where N is the total
number of observations.
2. The probability of observing a value in a particular
interval is independent of the previous values drawn.

Generation of Pseudo-Random Numbers
• Pseudo means false, so false random numbers
are being generated.
• The goal of any generation scheme, is to produce
a sequence of numbers between zero and 1
• Which simulates, or initiates, the ideal properties
of uniform distribution and independence as
closely as possible.

• When generating pseudo-random numbers,
certain problems or errors can occur.
• These errors, or departures from ideal
randomness, are all related to the properties
stated previously.
• Some examples include the following

1) The generated numbers may not be uniformly
distributed.
2) The generated numbers may be discrete -valued instead
continuous valued.
3) The mean of the generated numbers may be too high or
too low.
4) The variance of the generated numbers may be too high
or low.

Considerations in RN routine
• The routine should be fast
• The routine should be portable
• The routine should have a sufficiently long cycle
• The random numbers should be replicable.
• Random numbers should closely approximate the
ideal statistical properties of uniformity and
independences

Techniques for Generating Random Numbers
The linear congruential method
• It widely used technique, initially proposed by
Lehmer [1951]
• It produces a sequence of integers, X1, X2,...
Between zero and m — 1 according to the following
recursive relationship:
Xi+1 = (aXi + c) mod m, i = 0, 1, 2....

The linear congruential method
• If c ≠ 0then the form is called mixed congruential
method.
• When c = 0, the form is known as the multiplicative
congruential method.
• The selection of the values for a, c, m and X0
drastically affects the statistical properties and the
cycle length.

Multiplicative Congruential Method:
• Most natural choice for m is one that equals to the
capacity of a computer word.
• m = 2b (binary machine), where b is the number of bits in
the computer word.
• m = 10d (decimal machine), where d is the number of
digits in the computer word.
Xi+1 = a Xi (mod m), where a ≥ 0 and m ≥ 0 …

Tests For Random Numbers
1. Frequency test. Uses the Kolmogorov-Smirnov or the
chi-square test to compare the distribution of the set
of numbers generated to a uniform distribution.
2. Runs test. Tests the runs up and down or the runs
above and below the mean by comparing the actual
values to expected values. The statistic for
comparison is the chi-square.

3. Autocorrelation test. Tests the correlation between
numbers and compares the sample correlation to the
expected correlation of zero.
4. Gap test. Counts the number of digits that appear
between repetitions of a particular digit and then
uses the Kolmogorov-Smirnov test to compare with
the expected number of gaps.

5. Poker test. Treats numbers grouped together as a
poker hand. Then the hands obtained are compared
to what is expected using the chi-square test.
• In testing for uniformity, the hypotheses are as
follows:
 H0: Ri ~ U[0,1]
 H1: Ri ɫ U[0,1]

• The null hypothesis, H0, reads that the numbers are
distributed uniformly on the interval [0, 1].
• In testing for independence, the hypotheses are as
follows
 H0: Ri ~ independently
 H1: Ri ɫ independently

Frequency Tests
• To validate a new generator is the test of uniformity.
• Two types - Kolmogorov-Smirnov and Chi-square test.
• Both measure the degree of agreement between the
distribution of a sample of generated random numbers and
the theoretical uniform distribution.
• Both tests are on the null hypothesis of no significant
difference between the sample distribution and the
theoretical distribution.

The Kolmogorov-Smirnov test
• Suppose that the five numbers 0.44, 0.81,
0.14, 0.05, 0.93 were generated, and it is
desired to perform a test for uniformity using
the Kolmogorov-Smirnov test with a level of
significance of 0.05.

Chi-Square Test
Use the chi-square test with level of significance 0.05 to
test whether the data shown below are uniformly
distributed. The test uses n = 10 intervals of equal length

Run Test
Based on runs up and runs down, determine whether the
following sequence of 40 numbers is such that the hypothesis
of independence can be rejected where a = 0.05.

MT6702 Unit 2 Random Number Generation

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MT6702 Unit 2 Random Number Generation