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Recommendations on the Testing and Use of Pseudo‐Random Number Generators Used in Monte Carlo Analysis for Risk Assessment

 

作者: Timothy M. Barry,  

 

期刊: Risk Analysis  (WILEY Available online 1996)
卷期: Volume 16, issue 1  

页码: 93-105

 

ISSN:0272-4332

 

年代: 1996

 

DOI:10.1111/j.1539-6924.1996.tb01439.x

 

出版商: Blackwell Publishing Ltd

 

关键词: Monte Carlo;random numbers;random number testing;probabilistic risk assessment

 

数据来源: WILEY

 

摘要:

Monte Carlo simulation requires a pseudo‐random number generator with good statistical properties. Linear congruential generators (LCGs) are the most popular and well‐studied computer method for generating pseudo‐random numbers used in Monte Carlo studies. High quality LCGs are available with sufficient statistical quality to satisfy all but the most demanding needs of risk assessors. However, because of the discrete, deterministic nature of LCGs, it is important to evaluate the randomness and uniformity of the specific pseudo‐random number subsequences used in important risk assessments. Recommended statistical tests for uniformity and randomness include the Kolmogorov‐Smirnov test, extreme values test, and the runs test, including runs above and runs below the mean tests. Risk assessors should evaluate the stability of their risk model's output statistics, paying particular attention to instabilities in the mean and variance. When instabilities in the mean and variance are observed, more stable statistics, e.g., percentiles, should be reported. Analyses should be repeated using several non‐overlapping pseudo‐random number subsequences. More simulations than those traditionally used are also recommended for

 

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