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# random number generation and Monte Carlo simulation in C++

 P: n/a hi, i'm new to C++ could anyone refer me to a good site / good examples of random numbers? in particular including: 1) the commnds to obtain normally and exponenetially distributed r numbers 2) how the above types of random numbers are generated from uniform rvs i need to generate random numbers, normal and exponenetial, and then use them in a Monte Carlo simulation to obtain their mean and variance. So any Monte Carlo code direction would also be appreciated. I crudely know how to do this (because i've done it matlab) but I am aiming to be professional in C++ and would like to do the above generation in a sophisiticated way. thanks m Jul 19 '05 #1
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 P: n/a ap*****@columbia.edu (mescaline) writes: hi, i'm new to C++ could anyone refer me to a good site / good examples of random numbers? [snip] http://www.boost.org/libs/random/ Jul 19 '05 #2

 P: n/a "mescaline" wrote in message news:e5**************************@posting.google.c om... hi, i'm new to C++ could anyone refer me to a good site / good examples of random numbers? Check out for example the boost library. in particular including: 1) the commnds to obtain normally and exponenetially distributed r numbers There are no such commands available. The "only" thing available is a random generator which delivers (more or less) uniform numbers but this is enough. 2) how the above types of random numbers are generated from uniform rvs To obtain a normal distribution check out the Box Mueller formula and for exponential distributed numbers you can easily use the transformation method. i need to generate random numbers, normal and exponenetial, and then use them in a Monte Carlo simulation to obtain their mean and variance. So any Monte Carlo code direction would also be appreciated. I crudely know how to do this (because i've done it matlab) but I am aiming to be professional in C++ and would like to do the above generation in a sophisiticated way. You could go ahead implementing a base class like a CRandomKernel which includes a good random generator for a uniform distribution. This base class might also implement for example a rejection method or other sampling algorithms and for a specialized distribution you might derive and supply your specialized PDF or you could solve it providing function pointers. HTH Chris Jul 19 '05 #3

 P: n/a On Wed, 10 Sep 2003 09:32:47 +0200, "Chris Theis" wrote: "mescaline" wrote in messagenews:e5**************************@posting.google. com... hi, i'm new to C++ could anyone refer me to a good site / good examples of random numbers?Check out for example the boost library. That is indeed a good site to look at. A good example of a random number is 65481. in particular including: 1) the commnds to obtain normally and exponenetially distributed r numbersThere are no such commands available. The "only" thing available is a randomgenerator which delivers (more or less) uniform numbers but this is enough. In fact the boost random number library includes a number of distribution types, normal and exponential being two of them. -- Greg Schmidt (gr***@trawna.com) Trawna Publications (http://www.trawna.com/) Jul 19 '05 #4

 P: n/a "mescaline" wrote in message news:e5**************************@posting.google.c om... hi, i'm new to C++ could anyone refer me to a good site / good examples of random numbers? in particular including: 1) the commnds to obtain normally and exponenetially distributed r numbers 2) how the above types of random numbers are generated from uniform rvs i need to generate random numbers, normal and exponenetial, and then use them in a Monte Carlo simulation to obtain their mean and variance. So any Monte Carlo code direction would also be appreciated. I crudely know how to do this (because i've done it matlab) but I am aiming to be professional in C++ and would like to do the above generation in a sophisiticated way. thanks m Click on the link in my sig and find the UVS library. -- Cy http://home.rochester.rr.com/cyhome/ Jul 19 '05 #5

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