A FAST PROCEDURE FOR GENERATING EXPONENTIAL RANDOM VARIABLES
BOEING SCIENTIFIC RESEARCH LABS SEATTLE WA
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A very fast method for generating exponential random variables in a digital computer is presented. The method is exact, in the sense that in theory it returns a random variable with exactly the exponential distribution. In practice the result is an approximation, but the accuracy of the approximation depends only on the word length of the computer.
- Computer Hardware