Random Numbers in Scientific Computing: An Introduction

Details Random Numbers in Scientific Computing: An Introduction Random Numbers in Scientific Computing: An Introduction

2010-05-22

arxiv.org/abs/1005.4117v1

Physics

Computational Physics

lecture at the second international summer school "Modern Computation Science", 9 - 20 August 2010, Oldenburg (Germany), see

Scientific paper

Random numbers play a crucial role in science and industry. Many numerical methods require the use of random numbers, in particular the Monte Carlo method. Therefore it is of paramount importance to have efficient random number generators. The differences, advantages and disadvantages of true and pseudo random number generators are discussed with an emphasis on the intrinsic details of modern and fast pseudo random number generators. Furthermore, standard tests to verify the quality of the random numbers produced by a given generator are outlined. Finally, standard scientific libraries with built-in generators are presented, as well as different approaches to generate nonuniform random numbers. Potential problems that one might encounter when using large parallel machines are discussed.

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