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Random number generation
Algorithms and Transforms to Univariate
Random number generators
Creating numbers that
• are uniformly distributed on the interval (0,1)
• have low autocorrelation
• are unpredictable
Could that be achieved in practice?
Two basic types of random number generators
• Hardware generators, also called True Random Number
Generators (TRNG)
– Creates random numbers “physically”
– Physical processes (thermal noise, photo electric effects,…) or
Mechanic devices (wheels of fortune, tombola machines, dices,…)
– Satisfy conditions of independence and uniform distribution, but
has limitations with respect to the amount of numbers that can be
– See further e.g.
• Software generators, also called Pseudo Random Number
Generators (PRNG)
– Create random numbers using a mathematical or cryptographic
– Classic examples: Congruential generators
– Modern methods: Blum-Blum-Shub generator, Shift-registermethods, Mersenne Twister, Blowfish cipher
– Come as embedded functions in software or can be linked as
separate objects to the program code.
– The numbers are not truly random; attention must be made to the
type of application.
Linear Congruential Generators (LCG)
Define a sequence {xk } of integers according to
where x0 is chosen as a starting point.
“mod m” means that xk is the remainder after division by m
The result is an integer in the interval [0, m – 1]
a and c are constants in the interval [0, m) that need to be
carefully selected
The construction implies that the generated numbers will get
into a “loop” with a certain period
Let x0 = a = c = 7 and m = 10
The period is thus 4 in this case
Clearly, for a generator to be useful, one condition is that the
period is long.
How long can it be?
As there are only m possible values, the maximum period
length must be m. This is named full period.
Exercise: Consider the case where a = c =1
What are your findings?
A theorem (Knuth, 1981):
An LCG has full period m if and only if
• c is relatively prime to m
• a – 1 is a multiple of every prime dividing m,
i.e. a – 1 = k  p , kN for every prime p such that
m mod p = 0
• a – 1 is a multiple of 4, if m is a multiple of 4
For LCGs to work on a computer, the period cannot be longer
than the word size, i.e. 2B, where B is the number of bits.
LCGs are thus constructed so that the full period coincides
with the word size.
However, a and c must the be chosen to achieve as much
randomness as possible.
Guides for this can be found in several publications; the initial
standard reference is
Knuth D. (1981) The Art of Computer Programming. Volume
2 – Seminumerical Algorithms. 2nd ed. Addison-Wesley
Each generated integer is transformed into the interval [0,1)
by dividing by m, i.e. uk = xk / m.
Usually, if a zero is obtained, the next value in the sequence is
used instead.
The so-obtained sequence of real numbers {uk } are for
“good” LCGs uniformly distributed over the interval (0,1).
The starting value x0
• is called the seed to the generator
• has often been set by the computer system clock
• is more and more set by more sophisticated techniques
– to prevent predictability of the sequence
– to ensure unique seeds (if clock frequency is low
compared with the process to be run)
• can be used to always create the same sequence of pseudo
random numbers if e.g. different scenarios should be
LCGs as well as more modern generators (Mersenne Twister)
can create series of random numbers fully acceptable for most
computational statistics studies.
When RNGs are to be used e.g. as components in games
(roulette, bingo, lotteries, etc.) both for creating tickets and
for drawing winning results, care must be taken in order to
prevent the random numbers being predictable.
Transforms to Univariate Distibutions
The “inverse” method for continuous distributions:
Let U be a random variable uniformly distributed on (0,1)
Let FU be its cumulative distribution function, i.e.
The probability density function (pdf) of U is
Now, let X be a random variable with cumulative distribution
function FX .
where U is uniformly distributed over (0,1)
The cumulative distribution function of Y is now
as 0  FX (y)  1 and FU (u) = u for 0  u  1
 Y has the same probability distribution as X !!
Thus, if U is a realization of a random variable, uniformly
distributed on (0,1) [usually denoted U  Re (0,1) ]
then a realization of a random variable X with cumulative
distribution function FX can be obtained by
provided FX-1 can be evaluated (analytically or by numerical
The realization U of course comes from a RNG.
Some examples
• Let X be exponentially distributed, i.e. with pdf
for x  0 [FX (x) = 0 för x < 0]
To find FX-1 solve for x the equation
Thus the transform from U to X becomes
• Let X follow a symmetric triangular distribution around
zero, i.e. the pdf is
FX(x) is obtained as
The inverse FX-1 can now be shown to be
(The cases y  (0,1) are left out)
Thus a Re(0,1) random variable U is transformed into X by
Show this as an exercise!
Practical considerations with the “inverse” method:
1. When the inverse cumulative distribution can be explicitly
derived  No problem!
2. When not  Numerical solution necessary  Usually
When is 2 the case?
Unfortunately quite often, and the most obvious example is
that of normally distributed random variables (coming
Generation of general uniform deviates
A Re(0,1)-distributed random variable U can easily be
transformed to a Re(a, b)-distributed random variable X by
U can also be transformed to a random variable X with a
discrete uniform distribution on the integers (1, …, n ) by
where [] depicts the integer part.
Question and exercise:
• Why do we need to add “1”?
• How can U be transformed to a random variable Y with a
discrete uniform distribution on the integers (50, 55, 60) ?
Generating normally distributed deviates
(Two methods will be presented. There exist more of them!)
Method 1: (Central limit theorem use)
If U1, U2, … , Un is a sequence of (assumed) independent
Re(0,1)-distributed random numbers, then
is approximately normally distributed if n is
large enough.
As the Re(0,1)-distribution is symmetric around its mean with
no heavy tails, the convergence is quite fast.
• What is the mean and standard deviation of X ?
• How can we use X to further transform to any normal
• Why would n = 12 be a good choice?
Method 2: (Box & Muller; Marsaglia)
Assume U1 and U2 are two independent Re(0,1) random
Set V1 = 2U1 – 1 and V2 = 2U2 – 1
V1 and V2 are independent Re(–1, 1) random variables.
Now, let V1 represent the x-axis coordinate and V2 the y-axis
coordinate of a point within the unit circle.
Using polar coordinates
Can be intuitively seen but
also mathematically proven
and R and  are independent random variables.
If R  0, set
Otherwise, pick two new Re(0,1) deviates U1 and U2
Use the first representation and set
Then R’ and  are also independent and
since R varies between 0 and 1
What is now the distribution of R2 ? As R  Re(0,1) it can be
easily found that R2 also  Re(0,1)
This gives us
as the Jacobian is r in the change of variables.
 This shows that X1 and X2 are independent N(0,1) random
Generating general discrete distribution random
For a random variable X distributed over a finite (and small)
set of M numbers, divide the interval (0,1) into M intervals
with lengths equal to the individual probabilities of the M
possible values.
If U belongs to interval i let X be equal to value i
Special cases
1. The geometric distribution:
can be generated by the transform
Too see this, figure out for which values of U
where x is an integer, and calculate the
corresponding probability
2. The Binomial distribution
For small n we can use the methods of dividing the
interval (0,1) into n sub-intervals
For larger values the conjugate relationship with the Beta
distribution can be used
3. The Poisson distribution
Can be handled by the relationship with the exponential
and gamma distributions