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Lecture E1 (2020-09-24): Random Number Generation
IEE 475: Simulating Stochastic Systems
English - September 24, 2020 06:20Courses Education simulation stochastic des dess discrete event system industrial engineering modeling Homepage Download Apple Podcasts Google Podcasts Overcast Castro Pocket Casts RSS feed
Previous Episode: Lecture D2 (2020-09-22): Probabilistic Models
Next Episode: Lecture E2 (2020-09-29): Random-Variate Generation
This lecture surrounds random number generation. The topic is motivated by the need for generating samples from arbitrary random variables, which can be accomplished through transforming random numbers uniformly distributed between 0 and 1. We describe the key properties of a good pseudo-random number generator (uniformity and independence), discuss some historical random number generators, and then a more modern pseudo-random number generator. We close with descriptions of tests for uniformity (Chi-square and Kolmogorov-Smirnov) and independence (autocorrelation and runs tests).