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Uniform random number generation

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Abstract

In typical stochastic simulations, randomness is produced by generating a sequence of independent uniform variates (usually real-valued between 0 and 1, or integer-valued in some interval) and transforming them in an appropriate way. In this paper, we examine practical ways of generating (deterministic approximations to) such uniform variates on a computer. We compare them in terms of ease of implementation, efficiency, theoretical support, and statistical robustness. We look in particular at several classes of generators, such as linear congruential, multiple recursive, digital multistep, Tausworthe, lagged-Fibonacci, generalized feedback shift register, matrix, linear congruential over fields of formal series, and combined generators, and show how all of them can be analyzed in terms of their lattice structure. We also mention other classes of generators, like non-linear generators, discuss other kinds of theoretical and empirical statistical tests, and give a bibliographic survey of recent papers on the subject.

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  1. Département d'IRO, Université de Montréal, Succ. Centre-Ville, C.P. 6128, H3C 3J7, Montréal, Canada

    Pierre L'Ecuyer

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L'Ecuyer, P. Uniform random number generation. Ann Oper Res 53, 77–120 (1994). https://doi.org/10.1007/BF02136827

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