Efficient Random Process Generation for Reliable Simulation of Complex Systems

  • Authors:
  • Alexey S. Rodionov;Hyunseung Choo;Hee Yong Youn;Tai M. Chung;Kiheon Park

  • Affiliations:
  • -;-;-;-;-

  • Venue:
  • ICCS '01 Proceedings of the International Conference on Computational Science-Part II
  • Year:
  • 2001

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Abstract

Generating pseudo random object is one of the key issues in computer simulation of complex systems. Most earlier systems employ independent and identically distributed random variables, while those of real processes often show nontrivial autocorrelation. In this paper a new approach is presented that generates random process for given marginal distribution and autocorrelation function. The proposed approach achieves significant speed-up and accuracy by using truncated distribution instead of order statistics. An experiment displays more than ten times speed-up for reasonable size system. Moreover, the proposed generator is simple and requires less memory.