Random Variate Generation
Published Online: 15 FEB 2011
Copyright © 2010 John Wiley & Sons, Inc. All rights reserved.
Wiley Encyclopedia of Operations Research and Management Science
How to Cite
Leemis, L. M. 2011. Random Variate Generation. Wiley Encyclopedia of Operations Research and Management Science. .
- Published Online: 15 FEB 2011
This article outlines (i) techniques for the generation of random variates using density-based and hazard-based methods, (ii) techniques for the generation of certain stochastic point processes that are useful in stochastic modeling, and (iii) further reading in the area of generation of random objects. The accurate modeling of failure time distributions is critical for the development of valid Monte Carlo and discrete-event simulation models. Once an accurate model has been established, it is oftentimes the case that the complexity of the model requires an analysis by simulation. The associated variate generation algorithms for common stochastic models are introduced in this article.
- discrete-event simulation;
- Monte Carlo simulation;
- point processes;
- random variates