Abstract
There are many methods for the transformation of uniform random numbers into nonuniform random numbers. These methods are employed for pseudo-random numbers generated by computer programs. It is shown that the sensitivity to the pseudo-random numbers used can vary a lot between the transformation methods. A classification of the sensitivity of several transformation methods is given. Numerical examples are presented for various transformation methods.
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Afflerbach, L., Hörmann, W. (1992). Nonuniform Random Numbers: A Sensitivity Analysis for Transformation Methods. In: Pflug, G., Dieter, U. (eds) Simulation and Optimization. Lecture Notes in Economics and Mathematical Systems, vol 374. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-48914-3_10
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DOI: https://doi.org/10.1007/978-3-642-48914-3_10
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