Pseudo-Random Number Generators (PRNG)
Foundations, parallel streams, and stochastic simulation.
Pseudo-random number generators play a central role in simulation and stochastic optimization. They allow for the reproduction of random number sequences to validate models and apply variance reduction techniques (such as Common Random Numbers).
Course Material
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Slides: 02. Random Numbers (PDF)
(Introduction to PRNGs, CBRNGs, Philox, parallel generators, inversion, and other methods)
Software
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RandomDataStreams.jl: GitHub Repository
A Julia package providing a unified framework for managing multiple independent streams and substreams, ideal for stochastic simulation.