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Nov 21

Uniform Random Number Generator

Posted by abiao at 20:14 | Code » Other | Comments(0) | Reads(6156)
Uniform Random  number is crucial for Monte Carlo simulation, some famous uniform random number generators are Halton sequence and Sobol sequence. Normal random number can be simulated then by inverse normal cumulative function, for instance, Peter J Acklam inverse normal cumulative distribution or Beasley-Springer-Moro inverse normal.

UNIFORM is a Mathematica library which return a sequence of uniformly distributed pseudorandom numbers.

The fundamental underlying random number generator in UNIFORM is based on a simple, old, and limited linear congruential random number generator originally used in the IBM System 360.

For detail and several language version pls click http://people.scs.fsu.edu/~burkardt/math_src/uniform/uniform.html.

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