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Random Numbers
1.
2.
Kleber Barcia V.
Random-number generation
Random-variable generation
Chapter 2
test
Autocorrelation
Kleber Barcia V.
test.
Chapter 2
Uniformity
Independence.
1, 0 x 1
f ( x)
0, otherwise
a b
2
2
b a
V r
12
Figure: pdf for random numbers
2 1
x
E (r ) xdx
0
2
1
Kleber Barcia V.
V (r ) x dx E r
1
x3
1 1 1 1
3 0 2 3 4 12
3
Chapter 2
Fast
Replicable
Kleber Barcia V.
Chapter 2
Middle-square algorithm
Middle-product algorithm
Constant multiplier algorithm
Linear algorithm
Multiplicative congruential algorithm
Additive congruential algorithm
Congruential non-linear algorithms
Quadratic
Blumy
Kleber Barcia V.
Shub
5
Chapter 2
Middle-square algorithm
1.
2.
3.
4.
5.
6.
Chapter 2
Middle-square algorithm
If x0 = 5735
Then,
Y0 = (5735)2 = 32890225
Y1 = (8902)2 = 79245604
Y2 = (2456)2 = 06031936
Y3 = (0319)2 = 101760
Y4 = (0176)2 = 030976
1.
2.
x1 = 8902
x2 = 2456
x3 = 0319
x4 = 0176
x5 = 3097
r1 = 0.8902
r2 = 0.2456
r3 = 0.0319
r4 = 0.0176
r5 = 0.3097
Small cycles
May lose the series (e.g.: X0 = 0012)
Kleber Barcia V.
Chapter 2
Middle-product algorithm
3.
Kleber Barcia V.
Chapter 2
Middle-product algorithm
Example:
Seeds x0 = 5015 y x1 = 5734
Y0 = (5015)(5734) = 28756010
Y1 = (5734)(7560) = 43349040
Y2 = (7560)(3490) = 26384400
Y3 = (3490)(3844) = 13415560
Y4 = (3844)(4155) = 15971820
Kleber Barcia V.
x2 = 7560
x3 = 3490
x4 = 3844
x5 = 4155
x6 = 9718
r1 = 0.756
r2 = 0.349
r3 = 0.3844
r4 = 0.4155
r5 = 0.9718
Chapter 2
1.
2.
3.
Y0 = a*x0
4.
Yi = a*xi
5.
Kleber Barcia V.
10
Chapter 2
Example:
If: seed x0 = 9803 and constant a = 6965
Y0 = (6965)(9803) = 68277895
Y1 = (6965)(2778) = 19348770
Y2 = (6965)(3487) = 24286955
Y3 = (6965)(2869) = 19982585
Y4 = (6965)(9825) = 68431125
Kleber Barcia V.
x1 = 2778
x2 = 3487
x3 = 2869
x4 = 9825
x5 = 4311
r1 = 0.2778
r2 = 0.3487
r3 = 0.2869
r4 = 0.9825
r5 = 0.4311
11
Chapter 2
Linear algorithm
The
increment
The
modulus
Kleber Barcia V.
X i 1
, i 1,2,...
m 1
12
Chapter 2
Linear algorithm
Example:
r1 = 2/99 = 0.02
r2 = 77/99 = 0.77
r3 = 52/99 = 0.52
Kleber Barcia V.
13
Chapter 2
i 0,1,2,...
X i 1
, i 1,2,...
m 1
m = 2g
g must be integer
a = 3 + 8 k or 5 + 8 k
where k = 0, 1, 2, 3,...
X0 = should be an odd number
Kleber Barcia V.
N = m/4 = 2g-2
14
Chapter 2
Example:
Use x0 = 17, k = 2, g = 5
Then: a = 5+8(2) = 21
and
x1 = (21*17) mod 32 = 5
x2 = (21*5) mod 32 = 9
x3 = (21*9) mod 32 = 29
x4 = (21*29) mod 32 = 1
x5 = (21*1) mod 32 = 21
x6 = (21*21) mod 32 = 25
x7 = (21*25) mod 32 = 13
x8 = (21*13) mod 32 = 17
Kleber Barcia V.
m=25 = 32
r1 = 5/31 = 0.1612
r2 = 9/31 = 0.2903
r3 = 29/31 = 0.9354
r4 = 1/31 = 0.3225
r5 = 21/31 = 0.6774
r6 = 25/31 = 0.8064
r7 = 13/31 = 0.4193
r8 = 17/31 = 0.5483
15
Chapter 2
xi xi 1 xi n modm,
i n 1, n 2,..., N
Xi
ri
m 1
Kleber Barcia V.
16
Chapter 2
Example:
x1 =65, x2 = 89, x3 = 98, x4 = 03, x5 = 69, m = 100
x6=(x5+x1)mod100 = (69+65)mod100 = 34
x7=(x6+x2)mod100 = (34+89)mod100 = 23
x8=(x7+x3)mod100 = (23+98)mod100 = 21
x9=(x8+x4)mod100 = (21+03)mod100 = 24
x10=(x9+x5)mod100 = (24+69)mod100 = 93
x11=(x10+x6)mod100 = (93+34)mod100 = 27
x12=(x11+x7)mod100 = (27+23)mod100 = 50
Kleber Barcia V.
Chapter 2
Quadratic:
xi 1 ax 2 bx c modm
i 0,1,2,3,..., N
18
Chapter 2
xi 1 ax 2 bx c modm
i 0,1,2,3,..., N
19
Chapter 2
xi 1 xi modm
2
Kleber Barcia V.
i 0,1,2,3,..., n
20
Chapter 2
Maximum Density
Maximum Period
Kleber Barcia V.
Rev. 1
21
Chapter 2
Two categories:
Mean test
H0: ri = 0.5
H1: ri =/ 0.5
22
Chapter 2
Types of tests:
Kleber Barcia V.
Rev. 1
23
Chapter 2
Kolmogorov-Smirnov test
Procedure:
1.
2.
Determine D+, D-
3.
Determine D
4.
5.
Kleber Barcia V.
[Uniformity Test]
24
Chapter 2
Kolmogorov-Smirnov test
[Uniformity Test]
Step 1:
Step 2:
R(i)
0.05
0.14
0.44
0.81
0.93
i/N
0.20
0.40
0.60
0.80
1.00
i/N R(i)
0.15
0.26
0.16
0.07
R(i) (i-1)/N
0.05
0.04
0.21
0.13
Kleber Barcia V.
25
Chapter 2
Chi-square test
[Uniformity Test]
2
0
Ei is the expected # of
the class ith
Oi is the observed # of
the class ith
i 1
(Oi Ei )
Ei
N
, where N is the total # of observation
n
Kleber Barcia V.
26
Chapter 2
Chi-square test
[Uniformity Test]
Example: Use Chi-square with a = 0.05 to test that the data shown
are uniformly distributed
0.34
0.90
0.25
0.89
0.87
0.44
0.12
0.21
0.46
0.67
0.83
0.76
0.79
0.64
0.70
0.81
0.94
0.74
0.22
0.74
0.96
0.99
0.77
0.67
0.56
0.41
0.52
0.73
0.99
0.02
0.47
0.30
0.17
0.82
0.56
0.05
0.45
0.31
0.78
0.05
0.79
0.71
0.23
0.19
0.82
0.93
0.65
0.37
0.39
0.42
0.99
0.17
0.99
0.46
0.05
0.66
0.10
0.42
0.18
0.49
0.37
0.51
0.54
0.01
0.81
0.28
0.69
0.34
0.75
0.49
0.72
0.43
0.56
0.97
0.30
0.94
0.96
0.58
0.73
0.05
0.06
0.39
0.84
0.24
0.40
0.64
0.40
0.19
0.79
0.62
0.18
0.26
0.97
0.88
0.64
0.47
0.60
0.11
0.29
0.78
Kleber Barcia V.
27
Chapter 2
Chi-square test
[Uniformity Test]
Intervalo
Oi
Ei
Oi-Ei
(Oi-Ei)2
(Oi-Ei)2
Ei
10
-2
0.4
10
-2
0.4
10
10
0.0
10
-1
0.1
12
10
0.4
10
-2
0.4
10
10
0.0
14
10
16
1.6
10
10
0.0
10
11
100
10
100
1
0
0.1
3.4
Kleber Barcia V.
28
Chapter 2
[Test of Independence]
Hypothesis:
H 0 : rim 0,
H1 : rim 0,
Kleber Barcia V.
29
Chapter 2
[Test of Independence]
r im
Z0
r
im
1 M
im
R
R
i km i (k 1 )m 0.25
M 1 k 0
im
13M 7
12(M 1 )
High random numbers tend to be followed by high ones, and vice versa.
Low random numbers tend to be followed by high ones, and vice versa.
Kleber Barcia V.
30
Chapter 2
Example
Then i = 3, m = 5, N = 30
0.12
0.01
0.23
0.28
0.89
0.31
0.64
0.28
0.83
0.93
0.99
0.15
0.33
0.35
0.91
0.41
0.60
0.27
0.75
0.88
0.68
0.49
0.05
0.43
0.95
0.58
0.19
0.36
0.69
0.87
i (M 1 )m N
3 4 15 30
28 30
Then M = 4
Kleber Barcia V.
31
Chapter 2
Example
0.25
4 1 (0.27)(0.05) (0.05)(0.36)
0.1945
35
13(4) 7
0.128
12( 4 1 )
Z0
0.1945
1.516
0.1280
Kleber Barcia V.
32
Chapter 2
33
Chapter 2
Acceptance-
Kleber Barcia V.
technique
rejection technique
34
Chapter 2
Inverse-transform technique
Concept:
For
Generate
Find
r (0,1)
r = F(x)
r1
x:
x = F-1(r)
x1
Kleber Barcia V.
35
Chapter 2
Exponential Distribution
[inverse-transform]
F(x)
1 e -l x
for x 0
e lX 1 r
lX ln(1 r )
X
ln(1 r )
l
To generate X1, X2, X3
Xi =
=
=
Kleber Barcia V.
F-1(ri)
-(1/l ln(1-ri)
-(1/l) ln(ri)
Figure: Inverse-transform
technique for exp (l = 1)
36
Chapter 2
Table of Distributions
Distribution
[inverse-transform]
Cumulative
Uniform
F x x a
Weibull
F x 1 e
F x x
Triangular
Normal
Kleber Barcia V.
b a
a
a xb
x0
Inverse-Transform
xi a b a ri
x a ln 1 r
0 x 1
x 2r 0 r
2
2
x
F x 1
1 x 2 x 2 21 r
2
1 r 1
2
x z
37
Chapter 2
Exponential Distribution
[inverse-transform]
Ri
0.1306
0.0422
0.6597
0.7965
0.7696
Xi
0.1400
0.0431
1.078
1.592
1.468
Kleber Barcia V.
38
Chapter 2
Uniform Distribution
[Example]
xi a b a ri
Measurements
1
2
ri
0.48
0.82
Temperature oC
95+5*0.48=97.40
99.10
3
4
5
0.69
0.67
0.00
98.45
98.35
95.00
Kleber Barcia V.
39
Chapter 2
Exponential Distribution
[Example]
xi 3 ln 1 ri
Customer
1
2
ri
0.36
0.17
Service Time(min)
3.06
5.31
3
4
5
0.97
0.50
0.21
0.09
2.07
0.70
Kleber Barcia V.
40
Chapter 2
Poisson Distribution
[Example]
P(x)
F(x)
Random digits
0.1353
0.1353
0-0.1353
0.2706
0.4060
0.1353-0.4060
0.2706
0.6766
0.4060-0.6766
0.1804
0.8571
0.6766-0.8571
0.0902
0.9473
0.0369
e a a x
px
, x 0,1,...
x!
x
e a a i
F ( x)
i!
i 0
ri
Pieces/hour
0.8571-0.9473
Arrival
Time
0.9834
0.9473-0.9834
0.6754
0.0120
0.9954
0.9834-0.9954
0.0234
0.0034
0.9989
0.9954-0.9989
0.7892
0.0008
0.9997
0.9989-0.9997
0.5134
0.0001
0.9999
0.9997-0.9999
0.3331
10
0.00003
0.9999
0.9999-0.9999
Kleber Barcia V.
41
Chapter 2
Convolution Method
Y = x1+x2++xk
Y = (-1/k)ln(1-r1)+ (-1/k)ln(1-r2)++ (-1/k)ln(1-rk)
Where:
Y = Eri= (-1/k)ln(1-ri)
Kleber Barcia V.
Chapter 2
Convolution Method
The processing time of certain machine follows a 3erlang distribution with mean 1/ = 8 min/piece
1-r1
1-r2
1-r3
Process Time
0.28
0.52
0.64
6.328
0.96
0.37
0.83
3.257
0. 04
0.12
0.03
23.588
0.35
0.44
0.50
6.837
0.77
0.09
0.21
11.279
Kleber Barcia V.
43
Chapter 2
x (i -1) x x (i)
(i 1)
X F ( R) x(i 1) ai R
ai
Kleber Barcia V.
x(i ) x(i 1)
1 / n (i 1) / n
x(i ) x(i 1)
1/ n
44
Chapter 2
[inverse-transform]
Example: Suppose that the observed data of 100 repair times of a machine
are:
Interval
(Hours)
Frecuency
Relative
Frecuency
Cumulative
Frecuencia, c i
Slot, a i
0.25 x 0.5
31
0.31
0.31
0.81
0.5 x 1.0
10
0.10
0.41
5.0
1.0 x 1.5
25
0.25
0.66
2.0
1.5 x 2.0
34
0.34
1.00
1.47
Consider r1 = 0.83:
c3 = 0.67 < r1 < c4 = 1.00
X1 = x(4-1) + a4(r1 c(4-1))
= 1.5 + 1.47(0.83-0.66)
= 1.75
Kleber Barcia V.
45
Chapter 2
p(x)
F(x)
0
1
2
0.50
0.30
0.20
0.50
0.80
1.00
R 0.5
0,
x 1, 0.5 R 0.8
2, 0.8 R 1.0
Kleber Barcia V.
Consider R1 = 0.73:
F(xi-1) < R <= F(xi)
F(x0) < 0.73 <= F(x1)
Hence, x1 = 1
Rev. 1
46
Chapter 2
Acceptance-Rejection technique
procedure :
Step 1. Generate R ~ U[0,1]
no
Condition
si
output R
Kleber Barcia V.
47