Generating gamma and cauchy random variables : an extension to the Naval Postgraduate School random number package
Robinson, D. W.
Lewis, Peter A. W.
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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)
NPS Report NumberNPS-72RO75041
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