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Random Number Generation

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Handbook of Computational Statistics

Part of the book series: Springer Handbooks of Computational Statistics ((SHCS))

Abstract

The fields of probability and statistics are built over the abstract concepts of probability space and random variable. This has given rise to elegant and powerful mathematical theory, but exact implementation of these concepts on conventional computers seems impossible. In practice, random variables and other random objects are simulated by deterministic algorithms. The purpose of these algorithms is to produce sequences of numbers or objects whose behavior is very hard to distinguish from that of their “truly random” counterparts, at least for the application of interest. Key requirements may differ depending on the context.For Monte Carlo methods, the main goal is to reproduce the statistical properties on which these methods are based, so that the Monte Carlo estimators behave as expected, whereas for gambling machines and cryptology, observing the sequence of output values for some time should provide no practical advantage for predicting the forthcoming numbers better than by just guessing at random.

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Acknowledgements

This work has been supported by the Natural Sciences and Engineering Research Council of Canada (NSERC) and a Canada Research Chair to the author. Wolfgang Hörmann, Josef Leydold, François Panneton, and Richard Simard made helpful comments and corrections on an earlier draft. The author has been asked to write chapters on Random Number Generation for several handbooks and encyclopedia over the years. Inevitably, there is a large amount of duplication between these chapters.

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  1. Département d’Informatique et de Recherche Opérationnelle, Université de Montréal, Montréal, Québec, Canada

    Pierre L’Ecuyer

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  1. Pierre L’Ecuyer
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Correspondence to Pierre L’Ecuyer .

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  1. Dept. Computational & Data, Sciences, George Mason University, University Drive 4400, Fairfax, 22030-4444, Virginia, USA

    James E. Gentle

  2. L.v.Bortkiewicz Chair of Statistics, C.A.S.E. Centre f. Appl. Stat. & Econ., Humboldt-Universität zu Berlin, Unter den Linden 6, Berlin, 10099, Germany

    Wolfgang Karl Härdle

  3. Dept. Socioinformation, Okayama University, Ridai-cho 1-1, Okayama, 700-0005, Japan

    Yuichi Mori

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L’Ecuyer, P. (2012). Random Number Generation. In: Gentle, J., Härdle, W., Mori, Y. (eds) Handbook of Computational Statistics. Springer Handbooks of Computational Statistics. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-21551-3_3

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