Re: random numbers and statistics

From: flip (flip_alpha_at_safebunch.com)
Date: 08/07/04 

Date: Sat, 7 Aug 2004 11:28:02 -0700

"sean kim" <sean_incali@yahoo.com> wrote in message
news:4d47f9d3.0408061611.7a4436c@posting.google.com...
> Hello group,
>
> I'm doing soem simulations using random numbers, and i wanted to do
> statistics on the results of nuemrical calculations that were done
> using random number inputs.
>
> It's basically perturbation analysis with random and finite
> perturbations to the input parameters. then i'm looking at the
> fluctuations of values of a given output due the perturbations.
>
> Naturally, since the numbers are not really random, but pseudorandom,
> I'm wondering if the pseudo random generator will show false
> correlations if i look at thing like the mean, variance and standard
> deviations of the output.
>
> Am I right in worrying about this? or anyone has some insights they
> are graciously willing to provide?
>
>
> Thanks all in advance
>
> sean

I would recommend using a suite of PRNGs like ICGs, MT, SWB, AWC, Mother of
all RNGs and others when doing your simulations and analyses.

Also, you could try using DIEHARD and rigbeto analyze the PRNGs. Look to
NIST (http://csrc.nist.gov/rng/rng2.html) and RaBiGeTe
(http://www.webalice.it/cristiano.pi/rabigete/)

You could look to cryptographic PRNGs and RNGs as they have rather stringent
requirements (see NIST).

Lastly, you could look to hardware RNGs like comscire and others.

HTH, Flip

Relevant Pages

  • Re: random numbers and statistics
    ... >> I'm doing soem simulations using random numbers, ... >> fluctuations of values of a given output due the perturbations. ... >all RNGs and others when doing your simulations and analyses. ... you could try using DIEHARD and rigbeto analyze the PRNGs. ...
    (sci.math)
  • random numbers and statistics
    ... I'm doing soem simulations using random numbers, ... perturbations to the input parameters. ... fluctuations of values of a given output due the perturbations. ... I'm wondering if the pseudo random generator will show false ...
    (sci.math.num-analysis)