Efficient Random Process Generation for Reliable Simulation of Complex Systems

Springer-Verlag Lecture Notes in Computer Science, vol. 2074, pp. 912-921, May 2001 (SCI)

Alexey S. Rodionov, Hyunseung Choo, Hee Yong Youn, Tai M. Chung, and Kiheon Park


Generating pseudo random object is one of the key issues in computer simulation of complex systems. Most earlier systems employ independent and identically distributed random variables, while those of real processes often show nontrivial autocorrelation. In this paper a new approach is presented that generates random process for given marginal distribution and autocorrelation function. The proposed approach achieves significant speed-up and accuracy by using truncated distribution instead of order statistics. An experiment displays more than ten times speed-up for reasonable size system. Moreover, the proposed generator is simple and requires less memory.





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