Generating correlated random variables for a simulation model

Generating correlated random variables for a simulation model

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Article ID: iaor20001207
Country: United Kingdom
Volume: 50
Issue: 2
Start Page Number: 183
End Page Number: 186
Publication Date: Feb 1999
Journal: Journal of the Operational Research Society
Authors: ,
Keywords: random number generators
Abstract:

In most simulation textbooks, a great deal of attention is given to generating independent random variables. The topic of generating correlated random variables is either omitted or given only a cursory analysis. The purpose of this note is to illustrate how correlated random variables were generated in a simulation model for analysing a firm's ability to meet the demand for its product.

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