Algorithm 780: exponential pseudorandom distribution

ABSTRACT

An algorithm is presented for the calculation of exponentially distributed random numbers. It is based on mathematics that was published by Ahrend and Dieter, but some errors have been corrected.

REFERENCES

• 1: AHRENS, J.H. 1995. A one-table method for sampling from continuous and discrete distributions. Computing 54, 127-146.
• 2: J. H. Ahrens , U. Dieter, Computer methods for sampling from the exponential and normal distributions, Communications of the ACM, v.15 n.10, p.873-882, Oct. 1972 [doi>10.1145/355604.361593]
• 3: Joachim H. Ahrens , Ulrich Dieter, Efficient table-free sampling methods for the exponential, Cauchy, and normal distributions, Communications of the ACM, v.31 n.11, p.1330-1337, Nov. 1988 [doi>10.1145/50087.50094]
• 4: FISHMAN, G. S. 1996. Monte Carlo: Concepts, Algorithms, and Applications. Springer- Verlag, New York, NY.
• 5: MARSAGLIA, G. 1984. The exact-approximation method for generating random variables in a computer. J. Am. Stat. Assoc. 79, 385 (Mar.), 218-221.
• 6: MARSAGLIA, G. AND TSANG, W.W. 1984. A fast, easily implemented method for sampling from decreasing or symmetric unimodal density functions. SIAM J. Sci. Stat. Comput. 5, 2 (June), 349-359.

INDEX TERMS

Primary Classification:
  G. Mathematics of Computing
  G.3 PROBABILITY AND STATISTICS
      Subjects: Random number generation

Additional Classification:
  D. Software
  D.3 PROGRAMMING LANGUAGES
      D.3.2 Language Classifications

          Nouns: FORTRAN

  G. Mathematics of Computing
  G.4 MATHEMATICAL SOFTWARE
      Subjects: Certification and testing

  I. Computing Methodologies
  I.6 SIMULATION AND MODELING

General Terms:
Algorithms

Keywords:
exponential distribution, pseudorandom numbers, random numbers