A METHOD FOR PRODUCING RANDOM VARIABLES IN A COMPUTER.
BOEING SCIENTIFIC RESEARCH LABS SEATTLE WASH
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This paper describes a general procedure for producing random variables in a computer. The idea is to represent the required X in the form X C M U sub 1 U sub 2 U sub 3, some 97 - 99 of the time, where c is constant, M is a discrete random variable taking perhaps 8 values, and the Us are uniform random variables the other 1 - 3 of the time. X is generated from a residual density by the rejection technique. These two methods for producing X are combined in the proper proportions in order that the resulting distribution for X be correct. The method is general in that it applies to a wide variety of density functions. Programs based on this procedure are very fast and require little computer storage space - typically, 18 constants and 20 instructions. Author