Congruential generators all are RANDUs!

January 30, 2010

(This article was first published on Xi'an's Og » R, and kindly contributed to R-bloggers)

In case you did not read all the slides of Regis Lebrun’s talk on pseudo-random generators I posted yesterday, one result from Marsaglia’s (in a 1968 PNAS paper) exhibited my ignorance during Regis’ Big’ MC seminar on Thursday. Marsaglia indeed showed that all multiplicative congruential generators

r_{i+1}= kr_i text{modulo }m

lie on a series of hyperplanes whose number gets ridiculously small as the dimension d increases! If you turn the r_i’s into uniforms u_i and look at the d dimensional vectors


they are on a small number of hyperplanes, at most (d!m)^{1/m}, which gives 41 hyperplanes when m=2^{32}… So in this sense all generators share the same poor property as the infamous RANDU which is such that that (u_{i},u_{i+1},u_{i+2}) is always over one of 16 hyperplanes, an exercise we use in both Introducing Monte Carlo Methods with R and Monte Carlo Statistical Methods (but not in our general audience out solution manual). I almost objected to the general result being irrelevant as the pi_i’s share u_j’s, but of course the subsequence pi_1,pi_d,pi_{2d},... also share enjoys this property!

Filed under: R, Statistics, University life Tagged: congruential generators, Introducing Monte Carlo Methods with R, Monte Carlo methods, Monte Carlo Statistical Methods, random simulation, RANDU

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