Thanks to visit codestin.com
Credit goes to www.scribd.com

Scribd
Upload
53 views1 page

Random Number

The document discusses random number generation for Monte Carlo simulations. It describes the steps of the Monte Carlo technique as setting probability distributions, building cumulative distributions, generating random numbers to represent variables, running simulation experiments repeatedly, and maintaining control. It then discusses two methods of random number generation: arithmetic computation using a multiplicative congruential method, and computer generators that produce uniformly distributed fractions between 0 and 1 based on cumulative distribution functions.

Uploaded by

Subir Chakrabarty
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
53 views1 page

Random Number

The document discusses random number generation for Monte Carlo simulations. It describes the steps of the Monte Carlo technique as setting probability distributions, building cumulative distributions, generating random numbers to represent variables, running simulation experiments repeatedly, and maintaining control. It then discusses two methods of random number generation: arithmetic computation using a multiplicative congruential method, and computer generators that produce uniformly distributed fractions between 0 and 1 based on cumulative distribution functions.

Uploaded by

Subir Chakrabarty
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
You are on page 1/ 1

Random Number Generation

The Monte Carlo Simulation technique consists of the following steps: -

1. Setting up of a probability distribution for each random variable.


2. Building a cumulative probability distribution for each random variable.
3. Generate random number. Assign a appropriate set of random numbers to represent value or range (interval)
of values for each random variable.
4. Conduct the simulation experiment by means of random sampling.
5. Repeat step 4 until required number of simulation runs has been generated.
6. Design and implement a course of action and maintain control.

Random Number Generation

a. Arithmetic Computation (Generation of pseudo random numbers): the nth random number rn consisting of
k-digits generated by using multiplicative congruential method is given by, rn = p rn-1 (module m).

where, p and m are positive integers, p < m, rn-1 is a k-digit number and module m means that rn is the remainder
when p rn-1 is divided by m. This means that rn and p rn-1 differ by an integer multiple of m.

Say, p = 35, m = 100. We arbitrarily start with r0 = 57. Since (m-1) = 99 is a two digit number, therefore it will
generate 2-digit numbers: -

r1 = p r0 (module m) = 35 x 57 (module 100) = 1,995 / 100 = 95, remainder.

r2 = p r1 (module m) = 35 x 95 (module 100) = 3,225 / 100 = 25, remainder.

r3 = p r2 (module m) = 35 x 25 (module 100) = 875 / 100 = 75, remainder.

b. Computer generator: The random numbers that are generated by using computer software are uniformly
distributed fraction between 0 and 1. The software works on the concept of cumulative distribution function for
the random variables for which we are seeking to generate random numbers.

You might also like