Stream correlations in multiple recursive and congruential generators

Stream correlations in multiple recursive and congruential generators

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Article ID: iaor20082797
Country: United Kingdom
Volume: 1
Issue: 2
Start Page Number: 131
End Page Number: 135
Publication Date: May 2007
Journal: Journal of Simulation
Authors: ,
Abstract:

The use of common random numbers is a method of variance reduction usually implemented by allocating different but repeatable random number streams to different distributions in a simulation. Linear or multiplicative congruential generators with linearly related seeds for the streams are commonly used. We show that there is a simple mathematical relationship between the ith number in streams of multiple recursive or congruential generators and that streams produced from linearly related seeds have serious undesirable correlations.

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