Accuracy in random number generation
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- by John F. Monahan PDF
- Math. Comp. 45 (1985), 559-568 Request permission
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.References
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Additional Information
- © Copyright 1985 American Mathematical Society
- Journal: Math. Comp. 45 (1985), 559-568
- MSC: Primary 65C10; Secondary 68U20
- DOI: https://doi.org/10.1090/S0025-5718-1985-0804945-X
- MathSciNet review: 804945