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Multiple use of random numbers in discrete-event simulation

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  • Kämpke, Thomas

Abstract

A method is presented for using a single (0, 1) uniform random number to yield stochastically independent random numbers having a given finite distribution. The adaptation of the alias method to the given procedure is outlined. An application to simulate Brownian motion is given.

Suggested Citation

  • Kämpke, Thomas, 1989. "Multiple use of random numbers in discrete-event simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 31(3), pages 171-176.
    • Handle: RePEc:eee:matcom:v:31:y:1989:i:3:p:171-176
    DOI: 10.1016/0378-4754(89)90156-0
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    References listed on IDEAS

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    1. S. S. Lavenberg & P. D. Welch, 1981. "A Perspective on the Use of Control Variables to Increase the Efficiency of Monte Carlo Simulations," Management Science, INFORMS, vol. 27(3), pages 322-335, March.
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