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Generation
Raj Jain
Washington University
Saint Louis, MO 63130
Jain@cse.wustl.edu
Audio/Video recordings of this lecture are available at:
http://www.cse.wustl.edu/~jain/cse574-08/
Washington University in St. Louis
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Overview
Desired properties of a good generator
! Linear-congruential generators
! Tausworthe generators
! Survey of random number generators
! Seed selection
! Myths about random number generation
!
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Random-Number Generation
Random Number = Uniform (0, 1)
! Random Variate = Other distributions
= Function(Random number)
!
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A Sample Generator
!
For example,
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Terminology
!
!
!
!
Seed = x0
Pseudo-Random: Deterministic yet would pass randomness
tests
Fully Random: Not repeatable
Cycle length, Tail, Period
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Linear-Congruential Generators
!
!
Equivalently,
a = multiplier
m = modulus
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Multiplicative LCG
!
Two types:
m = 2k
m 2k
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Example 26.1a
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Example 26.1b
!
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Example 26.2
!
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Schrage's Method
PRN computation assumes:
" No round-off errors, integer arithmetic and no overflows
Can't do it in BASIC
" Product a xn-1 > Largest integer Overflow
! Identity:
Where:
And:
Here, q = m div a, r = m mod a
`A div B' = dividing A by B and truncating the result.
! For all x's in the range 1, 2, , m-1, computing g(x) involves
numbers less than m-1.
! If r < q, h(x) is either 0 or 1, and it can be inferred from g(x);
h(x) is 1 if and only if g(x) is negative.
!
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Example 26.3
!
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Tausworthe Generators
!
!
!
!
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Characteristic polynomial:
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Example 26.4
!
x7+x3+1
Using D operator in place of x:
Or:
!
Or:
!
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Starting with b0 = b1 = L = b6 = 1:
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Combined Generators
1. Adding random numbers obtained by two or more generators.
wn=(xn+yn) mod m
For example, L'Ecuyer (1986):
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Use:
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a)
b)
c)
d)
e)
Algorithm M:
Fill an array of size, say, 100.
Generate a new yn (between 0 and m-1)
Index i=1+100 yn/m
ith element of the array is returned as the next random number
A new value of xn is generated and stored in the ith location
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Seed Selection
Multi-stream simulations: Need more than one random
stream
" Single queue Two streams
= Random arrival and random service times
1. Do not use zero. Fine for mixed LCGs.
But multiplicative LCG or a Tausworthe LCG will stick at
zero.
2. Avoid even values. For multiplicative LCG with modulus
m=2k, the seed should be odd. Better to avoid generators that
have too many conditions on seed values or whose
performance (period and randomness) depends upon the seed
value.
3. Do not subdivide one stream.
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Table of Seeds
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Myths (Cont)
4. Some seeds are better than others. May be true for some.
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Myths (Cont)
5. Accurate implementation is not important.
" RNGs must be implemented without any overflow or
truncation For example,
"
In FORTRAN:
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Example 26.7
Notice that:
a) Bit 1 (the least
significant bit) is always
1.
b) Bit 2 is always 0.
c) Bit 3 alternates between
1 and 0, thus, it has a
cycle of length 2.
d) Bit 4 follows a cycle
(0110) of length 4.
e) Bit 5 follows a cycle
(11010010) of length 8.
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Summary
!
!
!
!
!
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Homework 26
!
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Exercise 26.5
Implement the following LCG using Schrage's method
to avoid overflow:
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