Stochastic simulation
The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms
The art of computer programming, volume 2 (3rd ed.): seminumerical algorithms
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A random number generator is a computer procedure that scrambles the bits of a current number or set of numbers to produce a new number, in such a way that the result appears to be randomly distributed among the set of possible numbers and independent of the previously generated numbers. As experiments over the years have shown, this appears surprisingly easy to do. A wide variety of scrambling methods have been proposed. Random number generators are provided for most computer systems or software packages, and they work remarkably well-at least for limited use when only a few hundreds or thousands of numbers are required. But experience with very fast computers doing Monte Carlo problems requiring samples of hundreds of millions or billions of numbers has shown that the random number generator must be carefully chosen.