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