Criteria for the Design of a Uniform Random Number Generator.
NAVAL RESEARCH LAB WASHINGTON D C
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The report discusses the problem of generating uniformly distributed random numbers on the computer. The class of linear congruential generators is explored, and a recently discovered defect inherent to these generators is described. Fourier analysis is applied to the output sequence of a linear congruential generator, resulting in the formulation of the spectral test, which is interpreted to measure the severity of the defect mentioned above. Implementation of the spectral test is described. A random number generator is presented in which two linear congruential generators are combined to yield an output sequence with better statistical properties than either single generator. A CDC 3800 Fortran computer program for the random number generator is included in the report. Author
- Statistics and Probability
- Computer Programming and Software