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Random number generation
"... Random numbers are the nuts and bolts of simulation. Typically, all the randomness required by the model is simulated by a random number generator whose output is assumed to be a sequence of independent and identically distributed (IID) U(0, 1) random variables (i.e., continuous random variables dis ..."
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Cited by 139 (30 self)
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Random numbers are the nuts and bolts of simulation. Typically, all the randomness required by the model is simulated by a random number generator whose output is assumed to be a sequence of independent and identically distributed (IID) U(0, 1) random variables (i.e., continuous random variables distributed uniformly over the interval
Uniform Random Number Generators: A Review
"... Thispapersummarizesthecurrentstateoftheart onuniformrandomnumbergenerationforstochasticsimulation. Itrecallsthebasicideas,discusses somelinearmethodsandtheirtheoreticalanalysis, andprovidespointerstofurtherdetailsandtorecommendedimplementations. 1 WHATISAGOODRNG? Withoutagoodrandomnumbergenerato ..."
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Cited by 8 (0 self)
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Thispapersummarizesthecurrentstateoftheart onuniformrandomnumbergenerationforstochasticsimulation. Itrecallsthebasicideas,discusses somelinearmethodsandtheirtheoreticalanalysis, andprovidespointerstofurtherdetailsandtorecommendedimplementations. 1 WHATISAGOODRNG? Withoutagoodrandomnumbergenerator(RNG), simulationresultsareoftenmeaningless.Andquestionablegeneratorsarestillallovertheplace, somany experimentsrestonshakyfoundations.Whythis problemwasnotsolvedlongago?Becauseitisnot soeasy.AsocalledRNGactuallyproducesatotally deterministicandperiodicsequenceofnumbers,once itsinitialstate(orseed)ischosen.Thisisintotal contradictionwiththeassumptionofasequenceofindependentandidenticallydistributed (i.i.d.)random variables,andthereisnocleanwaytocompletely reconcilethesetwooppositeaspects.Therefore,everythingwedointhiscontextisheuristic. Thisbeingsaid, theheuristicargumentsleadtocriteriathat needtheorytobeanalyzed.
Random Number Generation
"... 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 variable ..."
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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
HAVEGE: A userlevel software heuristic for generating empirically strong random numbers
 ACM Transactions on Modeling and Computer Simulation
, 2003
"... this paper, we present and analyze HAVEGE (HArdware Volatile Entropy Gathering and Expansion), a new userlevel software heuristic to generate practically strong random numbers on generalpurpose computers. The hardware clock cycle counter of the processor can be used to gather part of the entropy/u ..."
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this paper, we present and analyze HAVEGE (HArdware Volatile Entropy Gathering and Expansion), a new userlevel software heuristic to generate practically strong random numbers on generalpurpose computers. The hardware clock cycle counter of the processor can be used to gather part of the entropy/uncertainty introduced by operating system interrupts in the internal states of the processor. Then, we show how this entropy gathering technique can be combined with pseudorandom number generation in HAVEGE. Since the internal state of HAVEGE includes thousands of internal volatile hardware states, it seems impossible even for the user itself to reproduce the generated sequences
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"... n the mind of the average computer user, the problem of generating uniform variates by computer has been solved long ago. After all, every computer:system offers one or more function(s) to do so. Many software products, like compilers, spreadsheets, statistical or numerical packages, etc. also offe ..."
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n the mind of the average computer user, the problem of generating uniform variates by computer has been solved long ago. After all, every computer:system offers one or more function(s) to do so. Many software products, like compilers, spreadsheets, statistical or numerical packages, etc. also offer their own. These functions supposedly return numbers that could be used, for all practical purposes, as if they were the values taken by independent random variables, with a