Pseudo-random number generation
Simulations and Monte Carlo methods

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AF600 V1 Article

Pseudo-random number generation


Simulations and Monte Carlo methods

Authors : Gerardo RUBINO, Bruno TUFFIN

Publication date: October 10, 2007, Review date: November 19, 2019 | Lire en français

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5. Pseudo-random number generation

At the heart of the use of randomness for computation lies the problem of generating pseudo-random numbers. This is what we call the production of sequences of numbers that behave, from a statistical point of view, like realizations of sequences of i.i.d. random variables. The words in italics are important: we're talking about sequences (usually long sequences) of numbers. If we wanted to "produce" a single uniform binary value (a '0' or a '1' with probability 1/2), we could just as easily write '0' as '1' - both possibilities are equally "good". If we needed a real number that behaved like a realization of a uniform a.v. on [0, 1], we could write 0.0, or 0.5, or 0.12345 - it makes no difference. It's quite a different matter to produce 10 6 numbers behaving like a possible realization of 10 6 v.a....

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