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Random variate generation

Author:

Bruce SchmeiserAuthors Info & Claims

WSC '81: Proceedings of the 13th conference on Winter simulation - Volume 1

Pages 227 - 242

Published: 01 January 1981 Publication History

Abstract

The presentation begins with a discussion of basic concepts and concludes with a state of the art survey of methods for generating random variates on a digital computer. This paper updates the more than 300 references cited in last year's paper. Copies of the visual aids are given.

References

[1]

Ahrens, J.H. and U. Dieter (1980), Sampling from Binomial and Poisson Distributions: A Method with Bounded Computation Times, Computing, 25, 3, 193-208.

[2]

Ahrens, J.H. and U. Dieter (1980), Computer Generation of Poisson Deviates from Modified Normal Distributions, Department of Mathematics, University of Kiel, Kiel, West Germany.

[3]

Bendel, R.B. and M.R. Mickey (1978), Population Correlation Matrices for Sampling Experiments, Communications in Statistics, B: Simulation and Computation, B7, 163-182.

[4]

Bentley, J.L. and J.B. Saxe (1980), Generating Sorted Lists of Random Numbers, ACM Transactions on Mathematical Software, 6, 3, 359-364.

Digital Library

[5]

Cran, G.W., K.J. Martin, and G.E. Thomas (1977), A Remark on Algorithms AS63: The Incomplete Beta Integral, AS64: Inverse of the Incomplete Beta Function Ratio, Applied Statistics, 26, 111-114.

[6]

Devroye, L. (1980) On the Computer Generation of Random Convex Hulls, School of Computer Science, McGill University, Montreal.

[7]

Friedman, J.H. (1971), Random Event Generation with Preferred Frequency Distributions, J. Comput. Phys., 7, 2, 201-218.

[8]

Johnson, M.E. and A. Tenenbein (1981), A Bivariate Distribution Family with Specified Marginals, Journal of the American Statistical Association, 76, 373, 198-201.

[9]

Johnson, N.L. (1949), Systems of Frequency Curves Generated by Methods of Translation, Biometrika, 36, 149-176.

[10]

Kahn, H. (1950), Random Sampling (Monte Carlo) Techniques in Neutron Attenuation Problems - I, Nucleonics, 6, 5, 27.

[11]

Kemp, C.D. and S. Loukas (1981), Fast Methods for Generating Bivariate Discrete Random Variables, In: Statistical Distributions in Scientific Work, C. Taillie, G.P. Patil and B. Baldessari (eds.), Reidel, Dosdrecht.

[12]

Kindle, K. and P. Kubat (1981), A Direct Method for Generating Beta Variates with Nonintegral Parameters, Working Paper Series No. 8101, Graduate School of Management, University of Rochester.

[13]

Kottas, J.F. and H. Lau (1978), On Handling Dependent Random Variables in Risk Analysis, Journal of the Operational Research Society, 29, 1209-1217.

[14]

Kronmal, R.A. and A.V. Peterson, Jr. (1981), A Variant of the Acceptance-Rejection Method for Computer Generation of Random Variables, Journal of the American Statistical Association, 76-374, 446-451.

[15]

Law, A.M. and W.D. Kelton (1982), Simulation Modeling and Analysis, McGraw-Hill, New York, 400 p.

Digital Library

[16]

Marsaglia, G. (1966), A General Method for Producing Random Variables in a Computer, Proceedings of the Fall Joint Computer Conference, AFIPS, 29, 169-173.

Digital Library

[17]

Monarchi, D., J. Weber, and B. Baldessari (1980), A Simple Heuristic for the Generation of Correlation Matrices with Specified Determinants, Boulder Business Research Division, University of Colorado, Boulder.

[18]

Neuts, M.F. and M.E. Pagano (1981), Generating Random Variates from a Distribution of Phase Type, Technical Report 73B, Applied Mathematics Institute, University of Delaware, Newark.

[19]

Ryan, T.P. (1978), A Method of Simulating Matrices for Comparing Estimation Methods in Linear Regression, Proceedings of the Statistical Computing Section, American Statistical Association, 95-99.

[20]

Tadikamalla, P.R. and M.E. Johnson (1980), The AB.Z's of Gamma Random Variate Generators, WP-392, Graduate School of Business, University of Pittsburgh, Pittsburgh.

[21]

Tadikamalla, P.R. (1980), A Look at the Burr and Related Distributions, International Statistical Review, 48.

[22]

Votaw, D.F. and J.A. Rafferty (1951), High Speed Sampling, Math. Tables Other Aids Comp., 5, 1-18.

[23]

Schmeiser, B.W. (1980), Random Variate Generation: A Survey, In: Simulation with Discrete Models: A State-of-the-Art View, T.I.Ören, C.M. Shub, and P.F. Roth (eds.), Winter Simulation Conference, IEEE, 79-104.

Cited By

Kuhl M(2017)History of random variate generationProceedings of the 2017 Winter Simulation Conference10.5555/3242181.3242196(1-12)Online publication date: 3-Dec-2017
https://dl.acm.org/doi/10.5555/3242181.3242196
Balci OSadowski RNance R(1990)Guidelines for successful simluation studies (tutorial session)Proceedings of the 22nd conference on Winter simulation10.5555/328885.328890(25-32)Online publication date: 1-Dec-1990
https://dl.acm.org/doi/10.5555/328885.328890
Balci O(1989)How to assess the acceptability and credibility of simulation resultsProceedings of the 21st conference on Winter simulation10.1145/76738.76746(62-71)Online publication date: 1-Oct-1989
https://dl.acm.org/doi/10.1145/76738.76746
Show More Cited By

Index Terms

Random variate generation
1. Mathematics of computing
  1. Probability and statistics
    1. Multivariate statistics

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Information & Contributors

Information

Published In

cover image ACM Conferences

WSC '81: Proceedings of the 13th conference on Winter simulation - Volume 1

January 1981

358 pages

Sponsors

IEEE-SMCS: Systems, Man & Cybernetics Society
AIIE: AIIE
ORSA: Operations Research Society of America
SCS: Society for Computer Simulation
SIGSIM: ACM Special Interest Group on Simulation and Modeling
TIMS/CSG
IEEE-CS: Computer Society

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IEEE Press

Publication History

Published: 01 January 1981

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Overall Acceptance Rate 3,413 of 5,075 submissions, 67%

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Cited By

Kuhl M(2017)History of random variate generationProceedings of the 2017 Winter Simulation Conference10.5555/3242181.3242196(1-12)Online publication date: 3-Dec-2017
https://dl.acm.org/doi/10.5555/3242181.3242196
Balci OSadowski RNance R(1990)Guidelines for successful simluation studies (tutorial session)Proceedings of the 22nd conference on Winter simulation10.5555/328885.328890(25-32)Online publication date: 1-Dec-1990
https://dl.acm.org/doi/10.5555/328885.328890
Balci O(1989)How to assess the acceptability and credibility of simulation resultsProceedings of the 21st conference on Winter simulation10.1145/76738.76746(62-71)Online publication date: 1-Oct-1989
https://dl.acm.org/doi/10.1145/76738.76746
Kachitvichyanukul VSchmeiser B(1988)Binomial random variate generationCommunications of the ACM10.1145/42372.4238131:2(216-222)Online publication date: 1-Feb-1988
https://dl.acm.org/doi/10.1145/42372.42381
Balci O(1986)Credibility assessment of simulation resultsProceedings of the 18th conference on Winter simulation10.1145/318242.318258(38-44)Online publication date: 1-Dec-1986
https://dl.acm.org/doi/10.1145/318242.318258
Kachitvichyanukul VBanks JSchmeiser B(1983)Discrete univariate random variate generationProceedings of the 15th conference on Winter simulation - Volume 110.5555/800043.801493(179-188)Online publication date: 12-Dec-1983
https://dl.acm.org/doi/10.5555/800043.801493

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