Generating gamma and cauchy random variables : an extension to the Naval Postgraduate School random number package
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Authors
Robinson, D. W.
Lewis, Peter A. W.
Subjects
Random number generator
Pseudo-random numbers
Gamma distribution
Cauchy distribution
Pseudo-random numbers
Gamma distribution
Cauchy distribution
Advisors
Date of Issue
1975-04
Date
1975-04
Publisher
Monterey, California. Naval Postgraduate School
Language
eng
Abstract
Two very efficient algorithms for generating pseudorandom numbers from the gamma distribution have been developed by Ahrens and Dieter; in the present work these are combined with a third method to produce a combination generator capable of excellent performance for any order of gamma variant. The algorithms are briefly described and an IBM 360 Assembler implementation of them is described and tested. A second computer program for the generation of pseudorandom Cauchy deviates is presented; this program uses a new algorithm which is also described. Both computer programs are intended to be used with the Naval Postgraduate School random number package LLRANDOM. (Author)
Type
Technical Report
Description
Series/Report No
Department
Identifiers
NPS Report Number
NPS-72RO75041
Sponsors
Supported in part by the National Science Foundation under grant AG 476 and in part
by the Foundation Research Program of the Naval Postgraduate School with funds provided by the Chief of Naval Research.
Funder
NSF AG- 4 76
Format
Citation
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.