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Random Distribution Number Generator Algorithm

Posted on 2001-06-07
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Last Modified: 2008-02-01
I need to build a random number generator. The number generated should follow some distribution like noemal distribution, Poisson distribution, exponential distribution and so on....
I'm using Visual C++ programming, but I will be appreciate if anybody can just let me know the algorithm.
I have gone through the exact generator I needed in Excel, but I can't get the source code.
Thanx for your help.
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Question by:ronaldyoong
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9 Comments
 

Expert Comment

by:nir_arad
ID: 6162935
There are specific algorithm tips in
"Simulation Modeling and Analysis", 2nd Edition by Law and Kelton.
If you need something specific - I have the book at hand.

Example:
Bernoulli (p.472)
-----------------
1. Generate U~U(0,1)
2. If U <= p return X = 1. Otherwise return X = 0.


Uniform distribution can be obtained by the C library rand() function.
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LVL 18

Accepted Solution

by:
deighton earned 50 total points
ID: 6163202
Here is exponential for starters, include math.h

double exponential_distribution(double dlamda)
{
     double dprop;

     do
     {          
          dprop = (double) rand() / (double) RAND_MAX;
     }
     while (dprop == 0);

     return -log(dprop) / dlamda;
}


void main()
{


     printf("\nexponential lamda = 3 %lf",exponential_distribution(3));
         
         
}
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Expert Comment

by:deighton
ID: 6163206
include stdlib, stdio as well

and do a

// include time.h

srand( (unsigned)time( NULL ) );  

at program start to seed the random number if you want different numbers every time you run the program

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LVL 18

Expert Comment

by:deighton
ID: 6163264
poisson distribution

long poisson_distribution(double lamda)
{
     double total=0;
     double dprop,dterm;
     long k=0;
     long c;
     
     do
     {
          dprop = (double) rand() / (double) RAND_MAX;
     } while (dprop == 1);

     do
     {
          dterm = (double) exp(-lamda);
          for(c = 1;c <= k ; c++)
          {
               dterm *= lamda / c;                    
          }

          total += dterm;
          k++;
     } while(total < dprop);
     k--;
     
     return k;
}
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Expert Comment

by:yairy
ID: 6163720
A 'Real' random number generator is impossible to build with a deterministic machine.




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LVL 18

Expert Comment

by:deighton
ID: 6167760
yairy,

I agree that the rand function produces pseudo random numbers, a mathematical sequence that appears to be random, but obviously isn't as such random.  However they are adequate for most tasks,  and it is possible to replicate in c++ anything that excel can do.
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Expert Comment

by:griessh
ID: 6811672
I think you forgot this question. I will ask Community Support to close it unless you finalize it within 7 days.
Unless there is objection or further activity,  I will suggest to accept "deighton" comment(s) as an answer.

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Expert Comment

by:Netminder
ID: 6828409
Per recommendation comment force/accepted by

Netminder
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