Techniques for Efficient Monte Carlo Simulation. Volume 2. Random Number Generation for Selected Probability Distributions

Abstract
Algorithms for efficient generation of random numbers from various probability distributions are presented, in both a flowchart form and as a sample FORTRAN subroutine. Twenty-two different distributions, including all commonly encountered discrete and continuous functions, the Weibull, Johnson, and Pearson families of empirical distributions, and histogram distributions, are covered. The general techniques to apply in deriving a random number selection scheme for an arbitrary distribution are discussed. A machine- independent subroutine for generating uniform random numbers is also described.

This publication has 0 references indexed in Scilit: