Mathematica Tutorial: Random Number Generation

[Pages:44]Wolfram Mathematica? Tutorial Collection

RANDOM NUMBER GENERATION

For use with Wolfram Mathematica? 7.0 and later.

For the latest updates and corrections to this manual: visit reference. For information on additional copies of this documentation: visit the Customer Service website at services/customerservice or email Customer Service at info@ Comments on this manual are welcomed at: comments@ Content authored by: Darren Glosemeyer and Rob Knapp

Printed in the United States of America. 15 14 13 12 11 10 9 8 7 6 5 4 3 2

?2008 Wolfram Research, Inc. All rights reserved. No part of this document may be reproduced or transmitted, in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without the prior written permission of the copyright holder. Wolfram Research is the holder of the copyright to the Wolfram Mathematica software system ("Software") described in this document, including without limitation such aspects of the system as its code, structure, sequence, organization, "look and feel," programming language, and compilation of command names. Use of the Software unless pursuant to the terms of a license granted by Wolfram Research or as otherwise authorized by law is an infringement of the copyright. Wolfram Research, Inc. and Wolfram Media, Inc. ("Wolfram") make no representations, express, statutory, or implied, with respect to the Software (or any aspect thereof), including, without limitation, any implied warranties of merchantability, interoperability, or fitness for a particular purpose, all of which are expressly disclaimed. Wolfram does not warrant that the functions of the Software will meet your requirements or that the operation of the Software will be uninterrupted or error free. As such, Wolfram does not recommend the use of the software described in this document for applications in which errors or omissions could threaten life, injury or significant loss. Mathematica, MathLink, and MathSource are registered trademarks of Wolfram Research, Inc. J/Link, MathLM, .NET/Link, and webMathematica are trademarks of Wolfram Research, Inc. Windows is a registered trademark of Microsoft Corporation in the United States and other countries. Macintosh is a registered trademark of Apple Computer, Inc. All other trademarks used herein are the property of their respective owners. Mathematica is not associated with Mathematica Policy Research, Inc.

Contents

Random Number Generation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Random Generation Functions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Random Numbers . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Arbitrary-Precision Reals and Complexes . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9 Random Elements . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 11 Seeding and Localization . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 Methods . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 Congruential . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 ExtendedCA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 Legacy . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19 MersenneTwister . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 MKL . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20 Rule30CA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 Defining Your Own Generator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23 Example: Multiplicative Congruential Generator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 Example: Blum|Blum|Shub Generator . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25 Statistical Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27 Continuous Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 29 Discrete Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31 Defining Distributions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32 Example: Normal Distribution by Inversion . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 34 Example: Uniform Distribution on a Disk . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 35 Example: Dirichlet Distribution . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 36 Example: Gibbs Sampler . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37 References . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37

Random Number Generation

Introduction

The ability to generate pseudorandom numbers is important for simulating events, estimating probabilities and other quantities, making randomized assignments or selections, and numerically testing symbolic results. Such applications may require uniformly distributed numbers, nonuniformly distributed numbers, elements sampled with replacement, or elements sampled without replacement.

The functions RandomReal, RandomInteger, and RandomComplex generate uniformly distributed random numbers. RandomReal and RandomInteger also generate numbers for built-in distributions. RandomPrime generates primes within a range. The functions RandomChoice and RandomSample sample from a list of values with or without replacement. The elements may have equal or unequal weights. A framework is also included for defining additional methods and distributions for random number generation.

A sequence of nonrecurring events can be simulated via RandomSample. For instance, the probability of randomly sampling the integers 1 through n in order might be simulated.

This estimates the probability of getting n elements in order for n from 2 to 8. In[1]:= Block@8trials = 10 ^ 5, count, rn ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download