Random Number Generation

Desirable Attributes:
Uniformity
Independence
Efficiency
Replicability
Long Cycle Length

Random Numbers

Random Number Generation

(cont.)

Each random number Rt is an independent sample

drawn from a continuous uniform distribution
between 0 and 1
1 , 0 x 1
pdf: f(x) =

0 , otherwise

Random Numbers

Random Number Generation

(cont.)
1

f(x)

PDF:

E ( R ) xdx [ x 2 / 2]10 1 / 2
0
1

V ( R ) x 2 dx [ E ( R )]2
0
1
0

[ x 3 / 3] (1 / 2) 2 1 / 3 1 / 4
1 / 12
Random Numbers

Techniques for Generating

Random Number
MidSquare
Example:
X0 = 7182 (seed)
X 02 = 51581124
==> R12 = 0.5811
X 0 = (5811) 2 = 33767721
==> R2 = 0.7677
etc.
Random Numbers

Techniques for Generating

Random Number (cont.)
Note: Cannot choose a seed that guarantees that the
sequence will not degenerate and will have a long
period. Also, zeros, once they appear, are carried in
subsequent numbers.
2
X
0 = 27008809
Ex1: X0 = 5197 (seed)
X12
==> R1 = 0.0088
= 00007744
==> R2 = 0.0077
Ex2:

X0 = 4500 (seed)

==> R1 = 0.2500

X 02
2= 20250000
X1
= 06250000

Random Numbers

Techniques for Generating

Random Number (cont.)
Multiplicative Congruential Method:
Basic Relationship
Xi+1 = a Xi (mod m), where a 0and m 0
Most natural choice for m is one that equals to the
capacity of a computer word.
m = 2b (binary machine), where b is the number
of bits in the computer word.
m = 10d (decimal machine), where d is the
number of digits in the computer word.
Random Numbers

Techniques for Generating

Random Number (cont.)
The max period(P) is:
For m a power of 2, say m = 2b, and c 0, the longest
possible period is P = m = 2b , which is achieved
provided that c is relatively prime to m (that is, the
greatest common factor of c and m is 1), and a = 1 + 4k,
where k is an integer.
For m a power of 2, say m = 2b, and c =0, the longest
possible period is P = m / 4 = 2b-2 , which is achieved
provided that the seed X0 is odd and the multiplier, a, is
given by a = 3 + 8k or a = 5 + 8k, for some k = 0, 1,...
Random Numbers

Techniques for Generating

Random Number (cont.)
For m a prime number and c =0, the longest
possible period is P = m - 1, which is achieved
provided that the multiplier, a, has the property
that the smallest integer k such that ak - 1 is
divisible by m is k = m - 1,

Random Numbers

Techniques for Generating

Random Number (cont.)
(Example)
Using the multiplicative congruential method, find
the period of the generator for a = 13, m = 26, and
X0 = 1, 2, 3, and 4. The solution is given in next
slide. When the seed is 1 and 3, the sequence has
period 16. However, a period of length eight is
achieved when the seed is 2 and a period of length
four occurs when the seed is 4.

Random Numbers

Techniques for Generating

Random Number (cont.)
Period Determination Using Various seeds
i
0
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16

Xi

Xi

1
2
13
26
41
18
21
42
17
34
29
58
57
50
37
10
33
2
45
9
53
49
61
25
5 Random
1

Xi

Xi

3
39
59
63
51
23
43
47
35
7
27
31
19
55
11
Numbers
15
3

4
52
36
20
4

10

Techniques for Generating

Random Number (cont.)
SUBROUTINE RAN(IX, IY, RN)
IY = IX * 1220703125
IF (IY) 3,4,4
3: IY = IY + 214783647 + 1
4: RN = IY
RN = RN * 0.4656613E-9
IX = IY
RETURN
END
Random Numbers

11

Techniques for Generating

Random Number (cont.)
Linear Congruential Method:
Xi+1 = (aXi + c) mod m, i = 0, 1, 2....
(Example)
let X0 = 27, a = 17, c = 43, and m = 100, then
X1 = (17*27 + 43) mod 100 = 2
R1 = 2 / 100 = 0.02
X2 = (17*2 + 43) mod 100 = 77
R2 = 77 / 100 = 0.77
.........
Random Numbers

12

Test for Random Numbers

1. Frequency test. Uses the Kolmogorov-Smirnov or
the chi-square test to compare the distribution of the
set of numbers generated to a uniform distribution.
2. Runs test. Tests the runs up and down or the runs
above and below the mean by comparing the actual
values to expected values. The statistic for
comparison is the chi-square.
3. Autocorrelation test. Tests the correlation between
numbers and compares the sample correlation to the
expected correlation of zero.
Random Numbers

13

Test for Random Numbers (cont.)

4. Gap test. Counts the number of digits that appear
between repetitions of a particular digit and then
uses the Kolmogorov-Smirnov test to compare
with the expected number of gaps.
5. Poker test. Treats numbers grouped together as a
poker hand. Then the hands obtained are
compared to what is expected using the chi-square
test.

Random Numbers

14

Test for Random Numbers (cont.)

In testing for uniformity, the hypotheses are as
follows:
H0: Ri ~ U[0,1]
H1: Ri U[0,1]
The null hypothesis, H0, reads that the numbers are
distributed uniformly on the interval [0,1].

Random Numbers

15

Test for Random Numbers (cont.)

In testing for independence, the hypotheses are as
follows;
H0: Ri ~ independently
H1: Ri independently
This null hypothesis, H0, reads that the numbers are
independent. Failure to reject the null hypothesis
means that no evidence of dependence has been
detected on the basis of this test. This does not imply
that further testing of the generator for independence
is unnecessary.
Random Numbers

16

Test for Random Numbers (cont.)

Level of significance
= P(reject H0 | H0 true)
Frequently, is set to 0.01 or 0.05
(Hypothesis)
Actually True

Actually False

Accept
1 -
(Type II error)
Reject

(Type I error)

1-
Random Numbers

17

Test for Random Numbers (cont.)

The Gap Test measures the number of digits between
successive occurrences of the same digit.
(Example) length of gaps associated with the digit 3.
4, 1, 3, 5, 1, 7, 2, 8, 2, 0, 7, 9, 1, 3, 5, 2, 7, 9, 4, 1, 6, 3
3, 9, 6, 3, 4, 8, 2, 3, 1, 9, 4, 4, 6, 8, 4, 1, 3, 8, 9, 5, 5, 7
3, 9, 5, 9, 8, 5, 3, 2, 2, 3, 7, 4, 7, 0, 3, 6, 3, 5, 9, 9, 5, 5
5, 0, 4, 6, 8, 0, 4, 7, 0, 3, 3, 0, 9, 5, 7, 9, 5, 1, 6, 6, 3, 8
8, 8, 9, 2, 9, 1, 8, 5, 4, 4, 5, 0, 2, 3, 9, 7, 1, 2, 0, 3, 6, 3

Note: eighteen 3s in list

==> 17 gaps, the first gap is of length 10
Random Numbers

18

Test for Random Numbers (cont.)

We are interested in the frequency of gaps.
P(gap of 10) = P(not 3) P(not 3) P(3) ,
note: there are 10 terms of the type P(not 3)
= (0.9)10 (0.1)
The theoretical frequency distribution for randomly
ordered digit is given
by
x
F(x) = 0.1 (0.9)n = 1 - 0.9x+1
n 0

Note: observed frequencies for all digits are

compared to the theoretical frequency using the
Kolmogorov-Smirnov test.
Random Numbers

19

Test for Random Numbers (cont.)

(Example)
Based on the frequency with which gaps occur,
analyze the 110 digits above to test whether they are
independent. Use = 0.05. The number of gaps is
given by the number of digits minus 10, or 100. The
number of gaps associated with the various digits are
as follows:
Digit

0 1 2 3 4 5 6 7 8 9

# of Gaps 7 8 8 17 10 13 7 8 9 13
Random Numbers

20

Test for Random Numbers (cont.)

Gap Test Example
Gap Length

Frequency

0-3
4-7
8-11
12-15
16-19
20-23
24-27
28-31
32-35
36-39
40-43
44-47

35
22
17
9
5
6
3
0
0
2
0
1

Relative Cum. Relative

Frequency Frequency F(x) |F(x) - S N(x)|
0.35
0.22
0.17
0.09
0.05
0.06
0.03
0.00
0.00
0.02
0.00
0.01

0.35
0.57
0.74
0.83
0.88
0.94
0.97
0.97
0.97
0.99
0.99
1.00

Random Numbers

0.3439
0.5695
0.7176
0.8147
0.8784
0.9202
0.9497
0.9657
0.9775
0.9852
0.9903
0.9936

0.0061
0.0005
0.0224
0.0153
0.0016
0.0198
0.0223
0.0043
0.0075
0.0043
0.0003
0.0064

21

Test for Random Numbers (cont.)

The critical value of D is given by
D0.05 = 1.36 / 100 = 0.136
Since D = max |F(x) - SN(x)| = 0.0224 is less
than D0.05, do not reject the hypothesis of
independence on the basis of this test.

Random Numbers

22

Test for Random Numbers (cont.)

Run Tests (Up and Down)
Consider the 40 numbers; both the KolmogorovSmirnov and Chi-square would indicate that the
numbers are uniformly distributed. But, not so.
0.08
0.11
0.02
0.12

0.09
0.16
0.09
0.13

0.23
0.18
0.30
0.29

0.29
0.31
0.32
0.36

0.42
0.41
0.45
0.38

0.55
0.53
0.47
0.54

0.58
0.71
0.69
0.68

Random Numbers

0.72
0.73
0.74
0.86

0.89
0.74
0.91
0.88

0.91
0.84
0.95
0.91

23

Test for Random Numbers (cont.)

Now, rearrange and there is less reason to doubt
independence.
0.41
0.09
0.88
0.31

0.68
0.72
0.91
0.42

0.89
0.86
0.95
0.73

0.84
0.08
0.69
0.12

0.74
0.54
0.09
0.74

0.91
0.02
0.38
0.45

0.55
0.11
0.23
0.13

Random Numbers

0.71
0.29
0.32
0.47

0.36
0.16
0.91
0.58

0.30
0.18
0.53
0.29

24

Test for Random Numbers (cont.)

Concerns:
Number of runs
Length of runs

Note: If N is the number of numbers in a

sequence, the maximum number of runs is N-1,
and the minimum number of runs is one.
If a is the total number of runs in a sequence,
the mean and variance of a is given by

Random Numbers

25

Test for Random Numbers (cont.)

a = (2n - 1) / 3

a2 = (16N - 29) / 90
For N > 20, the distribution of a approximated
by a normal distribution, N(a , a2 ).
This approximation can be used to test the
independence of numbers from a generator.
Z0= (a - a) / a
Random Numbers

26

Test for Random Numbers (cont.)

Substituting for aanda ==>

Za = {a - [(2N-1)/3]} / {(16N-29)/90},
where Z ~ N(0,1)
Acceptance region for hypothesis of
independence -Z Z0 Z
/ 2

/ 2

-Z

/ 2

/ 2

Random Numbers

27

Test for Random Numbers (cont.)

(Example)
Based on runs up and runs down, determine
whether the following sequence of 40 numbers is
such that the hypothesis of independence can be
rejected where = 0.05.
0.41
0.19
0.18
0.31

0.68
0.72
0.01
0.42

0.89
0.75
0.95
0.73

0.94
0.08
0.69
0.04

0.74
0.54
0.18
0.83

0.91
0.02
0.47
0.45

0.55
0.01
0.23
0.13

Random Numbers

0.62
0.36
0.32
0.57

0.36
0.16
0.82
0.63

0.27
0.28
0.53
0.29

28

Test for Random Numbers (cont.)

The sequence of runs up and down is as follows:
+ + + + + + + + + + + + + + + + + + +

There are 26 runs in this sequence. With N=40 and a=26,

a = {2(40) - 1} / 3 = 26.33
and
2
=a {16(40) - 29} / 90 = 6.79
Then,
Z0 = (26 - 26.33) /
Now, the critical value is Z0.025 = 1.96, so the
independence of the numbers cannot be rejected on the
basis of this test.
Random Numbers

29

Test for Random Numbers (cont.)

Poker Test - based on the frequency with which
certain digits are repeated.
Example:
0.255 0.577 0.331 0.414 0.828 0.909
Note: a pair of like digits appear in each number
generated.

Random Numbers

30

Test for Random Numbers (cont.)

In 3-digit numbers, there are only 3 possibilities.
P(3 different digits) =
(2nd diff. from 1st) * P(3rd diff. from 1st & 2nd)
= (0.9) (0.8) = 0.72
P(3 like digits) =
(2nd digit same as 1st) P(3rd digit same as 1st)
= (0.1) (0.1) = 0.01
P(exactly one pair) = 1 - 0.72 - 0.01 = 0.27
Random Numbers

31

Test for Random Numbers (cont.)

(Example)
A sequence of 1000 three-digit numbers has been
generated and an analysis indicates that 680 have
three different digits, 289 contain exactly one pair
of like digits, and 31 contain three like digits.
Based on the poker test, are these numbers
independent?
Let = 0.05.
The test is summarized in next table.
Random Numbers

32

Test for Random Numbers (cont.)

Observed
Expected
Combination, Frequency,
i
Oi
Ei
Ei
Three different digits
Three like digits
Exactly one pair
1000
1000

680
31
289
47.65

(Oi - Ei)2
Frequency,
720
10
270

-----------

2.24
44.10
1.33

The appropriate degrees of freedom are one less than

the number of class intervals. Since 20.05, 2 = 5.99 <
47.65, the independence of the numbers is rejected
on the basis of this test.
Random Numbers

33