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Mathematics of Computation

ISSN 1088-6842(online) ISSN 0025-5718(print)



Accuracy in random number generation

Author: John F. Monahan
Journal: Math. Comp. 45 (1985), 559-568
MSC: Primary 65C10; Secondary 68U20
MathSciNet review: 804945
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Abstract: The generation of continuous random variables on a digital computer encounters a problem of accuracy caused by approximations and discretization error. These in turn impose a bias on the simulation results. An ideal discrete approximation of a continuous distribution and a measure of error are proposed. Heuristic analysis of common methods for transforming uniform deviates to other continuous random variables is discussed. Comments and recommendations are made for the design of algorithms to reduce the bias and avoid overflow problems.

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Keywords: Random number generation, discretization error, approximation error, relative accuracy, floating-point arithmetic
Article copyright: © Copyright 1985 American Mathematical Society

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