Accession Number : AD0722593
Title : Generation of Correlated Pseudo-Random Numbers for Monte Carlo Simulation.
Descriptive Note : Master's thesis,
Corporate Author : GENERAL ELECTRIC CO PHILADELPHIA PA SPACE DIV
Personal Author(s) : Oplinger,J. L.
Report Date : MAY 1971
Pagination or Media Count : 97
Abstract : The purpose of this thesis is to develop specific analytical techniques which can be used to generate correlated sets of pseudo-random numbers from a specified joint normal distribution. A number of alternative transformation techniques are developed and discussed. The problem of generating correlated sets of zero/one Bernoulli pseudo-random numbers is also addressed. Techniques which are widely used for the generation of uncorrelated sets of pseudo-random numbers are briefly reviewed. These existing pseudo-random number generators are used to generate uncorrelated pseudo-random numbers which can be transformed to the desired set of correlated pseudo-random numbers. (Author)
Descriptors : (*PROBABILITY, NUMBERS), (*RANDOM VARIABLES, SOURCES), (*MONTE CARLO METHOD, SIMULATION), CORRELATION TECHNIQUES, STATISTICAL DISTRIBUTIONS, MULTIVARIATE ANALYSIS, NUMERICAL ANALYSIS, ALGORITHMS, THESES
Subject Categories : Statistics and Probability
Distribution Statement : APPROVED FOR PUBLIC RELEASE