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Article: The Monty Python Method for Generating Random Variables

TitleThe Monty Python Method for Generating Random Variables
Authors
KeywordsAlgorithms
Monty Python method
Normal variates
Probability and statistics
Simulation theory
t variates
Theory
Von Mises variates
Issue Date1998
PublisherAssociation for Computing Machinery, Inc.
Citation
Acm Transactions On Mathematical Software, 1998, v. 24 n. 3, p. 341-350 How to Cite?
AbstractWe suggest an interesting and fast method for generating normal, exponential, t, von Mises, and certain other important random variables used in Monte Carlo studies. The right half of a symmetric density is cut into pieces, then, using simple area-preserving transformations, reassembled into a rectangle from which the x-coordinate - or a linear function of the x-coordinate - of a random point provides the required variate. To illustrate the speed and simplicity of the Monty Python method, we provide a small C program, self-contained, for rapid generation of normal (Gaussian) variables. It is self-contained in the sense that required uniform variates are generated in-line, as pairs of 16-bit integers by means of the remarkable new multiply-with-carry method.
Persistent Identifierhttp://hdl.handle.net/10722/88920
ISSN
2015 Impact Factor: 1.879
2015 SCImago Journal Rankings: 1.260
References

 

DC FieldValueLanguage
dc.contributor.authorMarsaglia, Gen_HK
dc.contributor.authorTsang, WWen_HK
dc.date.accessioned2010-09-06T09:50:08Z-
dc.date.available2010-09-06T09:50:08Z-
dc.date.issued1998en_HK
dc.identifier.citationAcm Transactions On Mathematical Software, 1998, v. 24 n. 3, p. 341-350en_HK
dc.identifier.issn0098-3500en_HK
dc.identifier.urihttp://hdl.handle.net/10722/88920-
dc.description.abstractWe suggest an interesting and fast method for generating normal, exponential, t, von Mises, and certain other important random variables used in Monte Carlo studies. The right half of a symmetric density is cut into pieces, then, using simple area-preserving transformations, reassembled into a rectangle from which the x-coordinate - or a linear function of the x-coordinate - of a random point provides the required variate. To illustrate the speed and simplicity of the Monty Python method, we provide a small C program, self-contained, for rapid generation of normal (Gaussian) variables. It is self-contained in the sense that required uniform variates are generated in-line, as pairs of 16-bit integers by means of the remarkable new multiply-with-carry method.en_HK
dc.languageengen_HK
dc.publisherAssociation for Computing Machinery, Inc.en_HK
dc.relation.ispartofACM Transactions on Mathematical Softwareen_HK
dc.rightsACM Transactions on Mathematical Software. Copyright © Association for Computing Machinery, Inc.en_HK
dc.subjectAlgorithmsen_HK
dc.subjectMonty Python methoden_HK
dc.subjectNormal variatesen_HK
dc.subjectProbability and statisticsen_HK
dc.subjectSimulation theoryen_HK
dc.subjectt variatesen_HK
dc.subjectTheoryen_HK
dc.subjectVon Mises variatesen_HK
dc.titleThe Monty Python Method for Generating Random Variablesen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0730-0301&volume=24&issue=3&spage=341&epage=350&date=1998&atitle=The+Monty+Python+method+for+generating+random+variablesen_HK
dc.identifier.emailTsang, WW:tsang@cs.hku.hken_HK
dc.identifier.authorityTsang, WW=rp00179en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-0032155866en_HK
dc.identifier.hkuros40690en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0032155866&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume24en_HK
dc.identifier.issue3en_HK
dc.identifier.spage341en_HK
dc.identifier.epage350en_HK
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridMarsaglia, G=6603739473en_HK
dc.identifier.scopusauthoridTsang, WW=7201558521en_HK

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