Random Number Generation Fall 2012

Random Number Generation

Fall 2012

By Yaohang Li, Ph.D.

Review• Last Class

– Variance Reduction• This Class

– Random Number Generation– Uniform Distribution– Non-uniform Distribution Random Number Generation– Assignment 3

• Next Class– Quasi-Monte Carlo

Random Numbers• Application of Random Numbers

– Simulation• Simulate natural phenomena

– Sampling• It is often impractical to examine all possible cases, but a

random sample will provide insight into what constitutes typical behavior

– Numerical analysis– Computer programming– Decision making

• “Many executives make their decisions by flipping a coin…”

– Recreation

Natural Random Number

• Natural Random Numbers– No two snowflakes are the same

– Sources

• White Noise

• Water Molecule Distribution

• etc.

– Generation

• Measurement

• Irreproducible

• Errors

Pseudorandom Number Generators

• Pseudorandom Numbers– Using a Mathematical Formula

– Deterministic

– Behave like real random numbers

• Comments– There is no “perfect” pseudorandom number generator

– We should never completely trust results from a single pseudorandom number generator

– Good random number generators are hard to find

Middle-square method

• Developed by von Neumann• Procedure

– 4 digit starting value is created

– Square and produce 8-digit number

– Get the middle 4 digits as the result and seed for next number

• Problems– What if the middle 4 digits are 0

– Forsythe found that the sequence may stuck in 6100, 2100, 4100, 8100, 6100, …

• Not a good generator

Quality of Pseudorandom Numbers

• Uniformity• Randomness• Independence• Reproducibility• Portability• Efficiency• A sufficiently long period

Generating Uniform Random Numbers

• Generating Uniform Random Numbers– Uniform distribution on [0,1)

– Generation

• Un=Xn/m– Xn: Random number Integer

– m: Max(Xn)+1: Usually the word size of a computer

– Un: Uniform real random number at [0,1)

Linear Congruential Method

• Linear Congruential Method– Most commonly used generator for pseudorandom numbers

• m: modulus• a: multiplier• b: additive constant

– Period• m constrains the period

– max period: 2m-1– m is usually chosen to be either prime of a power-of-two

)(mod1 mbaxx nn

Shift-Register Generators (SRG)

• Shift-Register Generators– based on the following recursion

– ai and xi are either 0 or 1

– Comments

• The recursion produces only bits

• Incorporate these bits into integers

),2(mod1

0

k

iinikn xax

Lagged-Fibonacci Generators

• Lagged-Fibonacci Generators (LFG)– Additive Lagged-Fibonacci Generators

– Multiplicative Lagged-Fibonacci Generators

• Comments– LFG has a much longer period than LCGs

– (2k-1)2m-1

kjxxx mknjnn ),2(mod

kjxxx mknjnn ),2(mod

Spectral Tests

Spectral Tests

Inversive Congruential Generators

• Inversive Congruential Generators (ICGs)– Recursive ICGs

– Explicit ICGs

– Advantage of ICGs

• ICGs do not fall in hyperplanes

),(mod1 mbxax nn

)(modmbanxn

)(mod1 mcc

Combined Generators

• Combined Generators– Combining different recurrences can increase the period length

– Improve the structural properties of pseudorandom generators

– Construct a new random sequence

• exclusive-or operator

• addition modulo

• addition of floating-point random numbers modulo 1

– x, y

• Different random number sources

,nnn yxz

Parallel Random Number Generators

• Requirements of Parallel Random Numbers– Every random number sequence generated on each processor

should satisfy the requirements of a good sequential generator.

– The parallel generator must be reproducible both on different machines and on the same machine with a different partitioning of the processing resources.

– The parallelly generated random streams must be uncorrelated and must not overlap.

– The parallel generator should work for an arbitrary, but perhaps bounded, number of processors.

Parallel Random Numbers Generations (Leapfrog)

• Leapfrog

Parallel Random Numbers Generations (Sequence Splitting)

• Sequence Splitting

Parallel Random Numbers Generations (Sequence Splitting)

• Random Tree Method– Also called

parameterization method

SPRNG

• http://sprng.cs.fsu.edu

Random Choices from a Finite Set

•A random integer X between 0 and k-1

– U is a random number uniformly distributed in [0,1)

•A more general case

kUX

1...,

,

0,

21

2112

11

Uppifpx

ppUifpx

pUifx

X

kk

Inverse Function Method

• Cumulative Distribution Function– Most real-valued distribution may be expressed in terms of its

distribution function F(x)

• Inverse Function Method– X=F-1(U)

– Now the problem reduces to how to evaluate the inverse function F-1()

Interesting Trick

• Generating the random samples of F(x)=x2

• Inverse Function Method– X=U-1/2

• A short cut method– If X1 is a random variable having the distribution F1(x) and if

X2 is a random variable having the distribution F2(x)• max(X1, X2) has the distribution F1(x)F2(x)• min(X1, X2) has the distribution F1(x)+F2(x)-F1(x)F2(x)

– Then X=max(U1, U2) has the distribution of F(x)=x2

– Hard to believe that max(U1, U2) and U-1/2 have the same distribution

Normal Distribution• Polar Method

1. Generate two independent random variables, U1 and U2

2. Set V1=2U1-1, V2=2U2-1

3. Set S=V1*V1+V2*V2

4. If S>=1, return to Step 1

5. Set X1 and X2 according to the following two equations

S

SVX

S

SVX

ln2

ln2

22

11

Acceptance-Rejection Method

• Desired pdf– Suppose we bound the desired

probability distribution function to sample from a box

• Algorithm1. Generate a random variable x from

U(0,1)

2. Generate another random variable y from U(0,1)

3. If x<f(y)/fmax then return y

4. else repeat from step 1

Acceptance-Rejection Method Example

• Determine an algorithm for generating random variates for a random variable that take values 1, 2, …, 10 with probabilities 0.11, 0.12, 0.09, 0.08, 0.12, 0.10, 0.09, 0.09. 0.10, 0.10 respectively

• Acceptance-Rejection Method– u1=U(0,1), u2=U(0,1), c=max(p())=0.12– Y=floor(10*u1+1)– while (u2>p(Y)/c)

• u1=U(0,1), u2=U(0,1)• Y=floor(10*u1+1)

– output Y

Analysis of Acceptance-Rejection Method

• Advantage– Acceptance-Rejection Method can fit in different pdfs

– popularly used in complicated probability geometry

• Disadvantage– Inefficient if the volume of the region of interest is small

relative to that of the box

• most of the darts will miss the target

Exponential Distribution

• F(x)=1-e-x/

– Logarithm method (inverse function method)

– X=-lnU

Shuffling Algorithm

• Let X1, X2, …, Xt be a set of t numbers to be shuffled1. j=t

2. Generate U

3. Set k=floor (jU)+1

4. Exchange Xk with Xj

5. Decrease j by 1. If j>1, return to step 2

Summary• Random Numbers– Uniform Random Numbers

• Generation of Uniform Random Numbers– Natural Random Number Generators– Pseudorandom Number Generators

• Pseudorandom Number Generators– Requirement of Pseudorandom Number Generators– LCG– LFG– SRG– ICG– Combined Random Number Generators

• Parallel Random Number Generators– Requirement of Parallel Random Number Generators– Techniques for Parallel Random Number Generators

• Leapfrog• Sequence Splitting• Random Tree

Summary• Numerical Distribution

– Random Choices from a finite set– General methods for continuous distributions

• inverse function method• acceptance-rejection method

– Distributions• Normal distribution

– Polar method• Exponential distribution

– Shuffling

What I want you to do?

• Review Slides• Review basic probability/statistics concepts