A new class of variable-length uniform random number generators and their asymptotic properties

Author(s):  
H. Koga
Author(s):  
E. Jack Chen

As computer capacities and simulation technologies advance, simulation has become the method of choice for modeling and analysis. The fundamental advantage of simulation is that it can tolerate far less restrictive modeling assumptions, leading to an underlying model that is more reflective of reality and thus more valid, leading to better decisions. Simulation studies are typically preceded by transforming in a more or less complicated way of a sequence of numbers between 0 and 1 produced by a pseudorandom generator into an observation of the measure of interest. Random numbers are a fundamental resource in science and technology. A facility for generating sequences of pseudorandom numbers is a fundamental part of computer simulation systems. Furthermore, random number generators also play an important role in cryptography and in the blockchain ecosystem. All samples of the sequence are generated independently of each other, and the value of the next sample in the sequence cannot be predicted, regardless of how many samples have already been produced.


Entropy ◽  
2020 ◽  
Vol 22 (6) ◽  
pp. 630 ◽  
Author(s):  
Boris Ryabko

The problem of constructing effective statistical tests for random number generators (RNG) is considered. Currently, there are hundreds of RNG statistical tests that are often combined into so-called batteries, each containing from a dozen to more than one hundred tests. When a battery test is used, it is applied to a sequence generated by the RNG, and the calculation time is determined by the length of the sequence and the number of tests. Generally speaking, the longer is the sequence, the smaller are the deviations from randomness that can be found by a specific test. Thus, when a battery is applied, on the one hand, the “better” are the tests in the battery, the more chances there are to reject a “bad” RNG. On the other hand, the larger is the battery, the less time it can spend on each test and, therefore, the shorter is the test sequence. In turn, this reduces the ability to find small deviations from randomness. To reduce this trade-off, we propose an adaptive way to use batteries (and other sets) of tests, which requires less time but, in a certain sense, preserves the power of the original battery. We call this method time-adaptive battery of tests. The suggested method is based on the theorem which describes asymptotic properties of the so-called p-values of tests. Namely, the theorem claims that, if the RNG can be modeled by a stationary ergodic source, the value − l o g π ( x 1 x 2 … x n ) / n goes to 1 − h when n grows, where x 1 x 2 … is the sequence, π ( ) is the p-value of the most powerful test, and h is the limit Shannon entropy of the source.


Author(s):  
E. Jack Chen

A facility for generating sequences of pseudorandom numbers is a fundamental part of computer simulation systems. Furthermore, multiple independent streams of random numbers are often required in simulation studies, for instance, to facilitate synchronization for variance-reduction purposes, and for making independent replications. A portable set of software utilities is described for uniform random-number generation. It provides for multiple generators (streams) running simultaneously, and each generator (stream) has its sequence of numbers partitioned into many long disjoint contiguous substreams. Simple procedure calls allow the user to make any generator “jump” ahead/back v steps (random numbers). Implementation issues are discussed. An efficient and portable code is also provided to implement the package. The basic underlying generator CMRG (combined Multiple Recursive Generator) combines two multiple recursive random number generators with a period length of approximately 2191 (˜ 3.1× 1057), good speed, and excellent theoretical properties.


1967 ◽  
Vol 14 (1) ◽  
pp. 100-119 ◽  
Author(s):  
R. R. Coveyou ◽  
R. D. Macpherson

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