Questions on the algorithms for and uses of (pseudo)random number generators in scientific computing.

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0answers
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What are some latest IO devices? Mostly from last five years? [on hold]

I need to prepare a presentation about a latest IO device which was invented in the last five years period. I searched but the internet doesn't have that much detail about the devices. I was thinking ...
0
votes
1answer
182 views

Drunken Man in Matlab

I wrote a script that plots the results of the "drunken lamppost" problem in MATLAB. Now I need to create a road-width from -3 to +3, length from 0 to infinity but the drunk can walk just ahead. It ...
1
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1answer
91 views

What is the name of the optimization algorithm that uses random sampling?

I am generating random weight as per e.g. below. The I generate a set of 3 values say 100, 250, 300 and I multiple them with the weights below Initial population. ...
6
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1answer
76 views

Shall I derandomize a randomized algorithm in real application?

In general (and in real application), suppose I am using a randomized algorithm (e.g. Use MCMC to sample from a distribution and then compute $E(f(x))$ for some function $f$) Assume my algorithm will ...
5
votes
2answers
276 views

Hashing algorithms/implementations for Monte Carlo simulation

To summarise this question in advance, I'm looking for a good hash function that is suitable for generating pseudo-random numbers in Monte Carlo simulations. This means it should be reasonably fast ...
3
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0answers
162 views

Generating pseudo-random orthonormal bases for random projection

I am performing series of random projections i.e. projecting the input matrix onto randomly generated orthonormal bases (of much lower dimensionality). The projection is just a matrix multiplication ...
4
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1answer
50 views

Random access random permutations

I have a large number of parallel processes and a large integer $n$, and want to randomly partition the integers $[0,n)$ among the processes with only $O(1)$ communication. One nice way to do this ...
2
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1answer
77 views

Randomly choose among N alternatives

I understand how to generate a random sequence of binary variables where 1 occurs with probability p and ...
5
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4answers
661 views

Simulated Annealing proof of convergence

I implemented downhill simplex simulated annealing algorithm. Algorithm is very hard to tune, w.r.t. parameters including cooling schedule, starting temperature... My first question is about ...
1
vote
1answer
108 views

Random placement of euclidean points with constrained inter-point distances in a fixed area

I'd like to place as many random points as possible in a 2D square $S=[0,1]x[0,1]$ such that the euclidean distance $d$ between any two points $d$ is greater than a given value $b$ (b is small). I'm ...
11
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4answers
213 views

How to create a random 3D domain representing a plant's root structure?

I would like to model laminar flow of water from roots to the stem of a plant. At the very end of the roots, the tubes vary from millimeter to centimeter scale in diameter and length. As we get closer ...
4
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1answer
1k views

How can I determine the period of my pseudo-random number generator?

Suppose I'm using a linear congruential pseudo-random number generator (PRNG). Given a seed $x_0$, the multiplying factor (a), the shift factor (c) and the modulus factor (m), how can I determine the ...
3
votes
1answer
63 views

Adding deliberate imperfection to RNG output - toolkits?

Are there any existing software toolkits, libraries, frameworks or whatever for studying the quality of pseudorandom number generators that allow one to add a known amount of imperfection - e.g ...
6
votes
4answers
772 views

How can I seed a parallel linear congruential pseudo-random number generator for maximal period?

Normally when I seed a sequential random number generator in C, I use the call srand(time(NULL)) then use rand() mod N ...
5
votes
2answers
2k views

Looking for C/C++ implementations of sampling from multinomial and Dirichlet distributions

I'm looking for C/C++ implementations of functions that return random variates multinomial and Dirichlet distributions. This is in the context of a calculation for posterior predictive p-values, part ...
3
votes
1answer
362 views

Sampling from posterior predictive distribution

First post. I'm working on this problem using Bayesian methods. In desperation I'm considering using p-values (shock horror), specifically posterior predictive p-values. So I need to simulate from the ...
16
votes
4answers
1k views

Is Fortuna or Mersenne Twister preferable as an algorithmic RNG?

A recent answer mentioned the use of Fortuna or Mersenne Twister Random Number Generators (RNGs) to seed a Monte Carlo simulation. I hadn't heard of Fortuna before so I looked it up - looks like it is ...
5
votes
4answers
242 views

How do I know which low-discrepancy sequence to use?

Whenever one uses a quasi-Monte Carlo method for cubature or optimization, it seems that there's a wide variety of low-discrepancy sequences to choose from, associated with the names of van der ...