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Portable random number generators

Author

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  • Gerald P. Dwyer
  • K. B. Williams

Abstract

Computers are deterministic devices, and a computer-generated random number is a contradiction in terms. As a result, computer-generated pseudorandom numbers are fraught with peril for the unwary. We summarize much that is known about the most well-known pseudorandom number generators: congruential generators. We also provide machine-independent programs to implement the generators in any language that has 32-bit signed integers-for example C, C++, and FORTRAN. Based on an extensive search, we provide parameter values better than those previously available.

Suggested Citation

  • Gerald P. Dwyer & K. B. Williams, 1999. "Portable random number generators," FRB Atlanta Working Paper 99-14, Federal Reserve Bank of Atlanta.
    • Handle: RePEc:fip:fedawp:99-14
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    References listed on IDEAS

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    1. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
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    3. F. Schmid & N. B. Wilding, 1995. "Errors In Monte Carlo Simulations Using Shift Register Random Number Generators," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 6(06), pages 781-787.
    4. Pierre L'Ecuyer, 1996. "Combined Multiple Recursive Random Number Generators," Operations Research, INFORMS, vol. 44(5), pages 816-822, October.
    5. Gerald P. Dwyer, Jr. & K. B. Williams, "undated". "Random Number Generators," Computing in Economics and Finance 1997 157, Society for Computational Economics.
    6. Pierre L'Ecuyer, 1997. "Bad Lattice Structures for Vectors of Nonsuccessive Values Produced by Some Linear Recurrences," INFORMS Journal on Computing, INFORMS, vol. 9(1), pages 57-60, February.
    7. Pierre L'Ecuyer, 1999. "Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators," Operations Research, INFORMS, vol. 47(1), pages 159-164, February.
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    Cited by:

    1. Tang, Hui-Chin, 2006. "Theoretical analyses of forward and backward heuristics of multiple recursive random number generators," European Journal of Operational Research, Elsevier, vol. 174(3), pages 1760-1768, November.

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    Keywords

    Programming (Mathematics); Computers;

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