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RANDOM NUMBER
UNIT 5
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Random Number
• Random numbers are characterized by the fact that their
value can not be predicted.
• Or, in other words, if one constructs a sequence of
random numbers, the probability distribution of
the following random numbers have to be
completely independent of all the other
generated numbers.
• Random numbers are samples drawn from a uniformly
distributed random variable between some satisfied
intervals, they have equal probability of
occurrence.
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Random Number
• Random numbers are a necessary basic ingredient
(element) in the simulation of almost all discrete systems.
• Most computer languages have a subroutine, object, or
function that will generate a random number.
• Similarly simulation languages generate random numbers
that are used to generate event limes and other random
variables.
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Random Number Tables

•A table of numbers generated in an
unpredictable, haphazard (hit-or-miss) that
are uniformly distributed within certain
interval are called random number table.
• The random number in random number table exactly obey
two random number properties: uniformity and
independence so random number generated form table
also called true random numbers
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Random Number Tables

• Table of random numbers are used to create a Radom
sample.
• A random number table is also called random sample
table.
• There are many physical devices or process that can be
used to generate a sequence of uniformly distributed
random numbers i.e. true random numbers.
• For example: An electrical pulse generator can be made
to drive a counter cycling from 0 to 9.
• Using an electronic noise generator or radioactive source
the pulse can be generated as random numbers.
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Properties of Random Numbers

• A sequence of random numbers,𝑅1, 𝑅2, 𝑅3 … ..
must have two important properties:
• Uniformity, i.e. they are equally probable every where
• Independence, i.e. the current value of a random
variable has no relation with the previous values
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Properties of Random Numbers

• Each random number Rt is an independent
sample drawn from a continuous uniform
distribution between 0 and 1
1 , 0  x  1
pdf: f(x) = 
0 , otherwise
(Probability Distribution Function)
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Properties of Random Numbers

• Expectation:
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Properties of Random Numbers

• Variance

So,
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Properties of Random Numbers

Consequences of Uniformity and Independence
Properties:
• If the interval (0,1) is divided into n sub-intervals of equal
length, the expected number of observations in each
interval is N/n, where N is the total number of
observations. Note that N has to be sufficiently large to
show this trend.
• The probability of observing a value in a particular interval
is independent of the previous values drawn.
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Types of random numbers

• There are three types of random numbers, quasi-, pseudo- and
true- random numbers.
• These different types of random numbers have different
applications.
1.True Random Number:
The most often used example for “truly” random numbers
is the decay of a radioactive material.
If a Geiger counter is put in front of such a radioactive
source, the intervals between the decay events are truly random.
True random numbers are gained from physical
processes like radioactive decay or also rolling a dice. But rolling
a dice is difficult, perhaps someone could control the dice so well
to determine the outcome.
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Types of random numbers

2.Pseudo Random Number:
These numbers are generated by a computer or that
is to say, by an algorithm and because of this not truly
random.
Every new number is generated from the previous
ones by an algorithm.
This means that the new value is fully determined by
the previous ones. But, depending on the algorithm, they
often have properties making them very suitable for
simulations.
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Types of random numbers

3. Quasi Random Number : Quasi (Virtual) random
numbers are not designed to appear random, rather to be
uniformly distributed.
One aim of such numbers is to reduce and control
errors in Monte Carlo simulations.
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Pseudo Random Numbers

• Pseudo means false, so false random numbers are being
generated.
• The goal of any generation scheme is to produce a
sequence of numbers between zero and 1 which
simulates, or imitates, the ideal properties of uniform
distribution and independence as closely as possible.
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Pseudo Random Numbers

• It is not possible to generate a perfect random number
that is the random numbers are generated by some
known arithmetic operations or formulas which is pseudo-
random number or false random number.
• Since the arithmetic operation is known and the sequence
of random numbers can be repeated, the numbers cannot
be called truly random number.
• However the pseudo-random numbers generated by
many computer routines very closely fulfill the
requirement of desired randomness.
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Pseudo Random Numbers

When generating pseudo-random numbers, certain problems or
errors can occur. Some examples include the following:
• The generated numbers may not be uniformly distributed.
• The generated numbers may be discrete-valued instead continuous
valued. { Numbers are discrete valued and not continuous on [0,1] }
• The mean of the generated numbers may be too high or too low.
• The variance of the generated numbers may be too high or low.
• There may be dependence. The following are the examples:
a) Autocorrelation between numbers.
b) Numbers successively higher or lower than adjacent numbers.
c) Several numbers above the mean followed by several numbers below the
mean.
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Properties of Good random Number

Generators
Usually, random numbers are generated by a digital
computer as part of the simulation. Numerous methods can
be used to generate the values. In selecting among these
methods, or routines, there are a number of important
considerations.
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Properties of Good random Number

Generators
1. The routine should be fast. The total cost can be managed
by selecting a computationally efficient method of random-number
generation.
2. The routine should be portable to different
computers, and ideally to different programming
languages .This is desirable so that the simulation program
produces the same results wherever it is executed.
3. The routine should have a sufficiently long cycle. The
cycle length, or period, represents the length of the random-
number sequence before previous numbers begin to repeat
themselves in an earlier order. Thus, if 10,000 events are to be
generated, the period should be many times that long; a
special case cycling is degenerating. A routine degenerates
when the same random numbers appear repeatedly. Such an
occurrence is certainly unacceptable. This can happen rapidly
with some methods.
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Properties of Good random Number

Generators
4 . The random numbers should be replicable. Given
the starting point (or conditions), it should be possible to
generate the same set of random numbers, completely
independent of the system that is being simulated. This is
helpful for debugging purpose and is a means of facilitating
comparisons between systems.
5. Most important, and as indicated previously, the
generated random numbers should closely
approximate the ideal statistical properties of
uniformity and independences
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Method / Techniques to Generate

Random Numbers
Congruence or Residue Method (Uniform - Linear
Congruential Method)
The linear congruential method, initially proposed by Lehrer
[1951], produces a sequence of integers, X1, X2,...
between zero and m — 1 according to the following
recursive relationship:

Xi+1 = (aXi + c) mod m…………………….(i)

The initial value X 0 is called the seed, a is called the

constant multiplier, c is the increment, and m is the
modulus.
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Congruence or Residue Method (Uniform - Linear

Congruential Method)

• Case 1: If c ≠ 0 in Equation (i), the form is called the

mixed congruential method.
• Case 2: When c = 0, the form is known as the
multiplicative congruential method.

The selection of the values for a, c, m and Xo

drastically affects the statistical properties and the cycle
length. An example will illustrate how this technique
operates.
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Congruence or Residue Method (Uniform - Linear

Congruential Method)
Mixed Congruential Method: c ≠ 0
Here ,
Xi+1 = (aXi + c) mod m
Let a = 9, c = 3 , m = 31 & X0 = 2
Then , X1 = (aX0 + c) mod m
= ( 9 X 2 + 3) mod 31
= 21 mod 31
= 21
X2 = (aX1 + c) mod m
= ( 9 X 21 + 3) mod 31
= 192 mod 31
=6
And X3=26 , X4=20, X5=28
Hence, random number are 2,21,6,26,20,28,7,4,8
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Congruence or Residue Method (Uniform - Linear

Congruential Method)
Multiplicative Congruential Method: c = 0
Here ,
Xi+1 = (aXi ) mod m
Let a = 9 , m = 31 & X0 = 2
Then , X1 = (aX0 ) mod m
= ( 9 X 2) mod 31
= 18 mod 31
= 18
X2 = (aX1) mod m
= ( 9 X 18) mod 31
= 162 mod 31
=7
And X3=1 , X4=9, X5=19
Hence, random number are 2,18,7,1,9,19,16,20…..
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Congruence or Residue Method (Uniform - Linear

Congruential Method)
Additive Congrutial Method : a =1
Here ,
Xi+1 = (Xi + c) mod m
Let c = 17 , m = 29 & X0 = 7
Then , X1 = (X0 + c) mod m
= ( 7 + 17) mod 29
= 24 mod 29
= 24
X2 = (X1 + c) mod m
= ( 24 + 17) mod 29
= 41 mod 29
= 12
And X3=0 , X4=17, X5=5
Hence, random number are 7,24,12,0,17,5,22,10,27…..
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Congruence or Residue Method (Uniform - Linear

Congruential Method)

Arithmetic Congruential Method :

In this method random number are generated by the eq:
Xi+1 = (Xi-1 + Xi) mod m
Let , X1=9, X2=13, m=17
X3=(X1 + X2) mod m = (9 + 13) mod 17 = 5
X4=(X2 + X3) mod m = (13 + 5) mod 17 = 1
………………..
So
The random numbers are 9,13,5,1,6,7,13,3………..
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EXAMPLE 3.1
Q.N. Use the linear congruential method to generate a
sequence of random numbers with X 0 = 27, a= 17, c = 43,
and m = 100. Here, the integer values generated will all be
between zero and 99 because of the value of the modulus.
These random integers should appear to be uniformly
distributed the integers zero to 99. Random numbers
between zero and 1 can be generated by
Ri =Xi/m, i= 1,2,……(3.1)
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solution
The sequence of Xi and subsequent Ri values is computed as follows:
X0 = 27
X1 = (17x27 + 43) mod 100 = 502 mod 100 = 2
R1=2⁄100=0.02
X2 = (17 x 2 + 43) mod 100 = 77 mod 100 = 77
R2=77 ⁄100=0.77
X3 = (17 x 77+ 43) mod 100 = 1352 mod 100 = 52
R3=52 ⁄100=0.52

First, notice that the numbers generated from Equation (3.2) can only
assume values from the set i= {0,1 /m, 2/m,..., (m — l)/m), since each Xi is
an integer in the set {0,1,2,..., m -1}. Thus, each Ri is discrete on i, instead
of continuous on the interval [0, 1], This approximation appears to be of
little consequence, provided that the modulus m is a very large integer.
(Values such as m = 231 -1 and m = 248 are in common use in generators
appearing in many simulation languages). By maximum density is meant
that the values assumed by Ri = 1,2,..., leave no large gaps on [0,1].
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EXAMPLE 3.2
Q.N >Let m = 100, a = 19, c = 0, and X0 = 63, and
generate a sequence random integers. Find first 7 random
number generate using any suitable method??
Solution
X0 = 63
X1 = (19)(63) mod 100 = 1197 mod 100 = 97
X2 = (19) (97) mod 100 = 1843 mod 100 = 43
X3 = (19) (43) mod 100 = 817 mod 100 = 17
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EXAMPLE 3.3
Q.N > Let a = 75, m = 231-1 and c= 0. These choices
satisfy the conditions that insure a period of P = m-1.
Further, specify a seed, X0 = 123,457.
Solution:
The first few numbers generated are as follows:
X1= 75(123,457) mod (231 - 1) = 2,074,941,799 mod (231 - 1)
X1 = 165
X2 = 75(2,074,941,799) mod (231 - 1) = 559,872,160 =185

X3 = 75(559,872,160) mod (231 - 1) = 1,645,535,613 =

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EXAMPLE 3.4
Q.N > Using the multiplicative congruential method, find the
period of the generator for a = 13, m = 64, and X 0 = 1, 2, 3,
and 4. Prove that the solution is given , when the seed is 1
and 3, the sequence has period 16, a period of length eight
is achieved when the seed is 2 and a period of length four
occurs when the seed is 4.
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solution
Period Determination Using Various seeds
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Q.N.1>Let m = 47, a = 19, and 0X= 46, and generate a

sequence c random integers. Find first 4 random number
generate using any suitable method??
Q.n.2>Let m = 100, a = 19, c = 6, and X0 = 63, and
generate a sequence c random integers. Find first 5
random number generate using any suitable method??
Q.N.3>Find random number, with first two random number
is 10 and 15 respectively with modulus 50 .
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Testing for Randomness

The desirable properties of random numbers — uniformity
and independence to ensure that these desirable properties are
achieved, a number of tests can be performed (fortunately, the
appropriate tests have already been conducted for most commercial
simulation software}.
The tests can be placed in two categories according to the
properties of interest.

a) Testing for uniformity

b) Testing for independence.
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Testing for Randomness

The desired properties of random numbers are uniformity and
independence. So, the test of random numbers means uniformity and
independence test. There are different types of test used for these purpose. They
are as follows:
1. Frequency test:
Uses the Kolmogorov-Smirnov (KS) or Chi-square test to compare the
distribution of the set of numbers generated to a uniform distribution
2. Runs test:
Tests the runs up and down or the runs above or below the mean by
comparing the actual value to expected value.
The statistics for comparison in Chi-square.
3. Auto correlation test:
Tests the correlation between numbers and compares the sample
correlation to the expected correlation of zero.
4. Gap test:
Counts the number of digits that appear between repetition of a particular
digit and then uses KS test to compare with the expected size of gaps.
5. Poker test:
Treats numbers group together as a poker hand. Then the hands obtained
are compared to what is expected using the Chi-square test.
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Testing for uniformity

The testing for uniformity can be achieved through
different frequency test.
These tests use the Kolmogorov-Smirnov or the
chi- square test to compare the distribution of the set of
numbers generated to a uniform distribution. Hence in this
category we will discuss two types of test
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Testing for uniformity

1.The Kolmogorov-Smirnov (KS) test.
This test compares the continuous cdf, F(x), of the uniform
distribution to the empirical cdf, SN(x), of the sample of N observations.
By definition,
F(x) = x, 0 <= x <= 1
If the sample from the random-number generator is 1R,R2 ,…
RN, then the empirical cdf, SN(X), is defined by

As N becomes larger, SN(X) should become a better approximation to

F(X), provided that the null hypothesis is true.
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1.The Kolmogorov-Smirnov (KS) test.

The Kolmogorov-Smirnov test is based on the

largest absolute deviation or difference between F(x) and
SN(X) over the range of the random variable.
i.e. it is based on the statistic

D = max | F(x) - SN(x) |

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Algorithm for K-S test

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Table A.8 Kolmogorov-Smirnov Critical Values

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EXAMPLE 3.5
Q.N > Suppose that the five numbers 0.44 , 0.81, 0.14, 0.05, 0.93 were
generated, and it is desired to perform a test for uniformity using the
Kolmogorov-Smirnov test with a level of significance a of 0.05.
Solution
First, the numbers must be ranked from smallest to largest
i.e. 0.05 , 0.14 , 0.44 , 0.81 , 0.93
Then ,

The computations for D+, namely { i /N -R(i) } and for

D-, namely { R(i ) - ( i - l ) / N } ,
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R(i) 0.05 0.14 0.44 0.81 0.93

i/N 0.2 0.4 0.6 0.8 1.00

i/N – R(i) 0.15 0.26 0.16 _ 0.07

R(i) – (i-1)/N 0.05 _ 0.04 0.21 0.13

The statistics are computed as D+ = 0.26 and D- = 0.21.

Therefore,
D = max{0.26, 0.21} = 0.26.
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The critical value of D, obtained from Table A.8 for a = 0.05

and N= 5, is 0.565.

Since the computed value, 0.26, is less than the

tabulated critical value, 0.565, the hypothesis of no
difference between the distribution of the generated
numbers and the uniform distribution is not rejected.
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Example 3.6
• Suppose that the five numbers 0.24 , 0.80, 0.11, 0.05,
0.93 were generated, and it is desired to perform a test for
uniformity using the Kolmogorov-Smirnov test with a level
of significance a of 0.01.
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Example 3.7
• Suppose that the four numbers 0.80, 0.14, 0.05, 0.5 were
generated, and it is desired to perform a test for uniformity
using the Kolmogorov-Smirnov test with a level of
significance a of 0.10.
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Example 3.8
• Suppose that the seven numbers 0.44 , 0.81, 0.14, 0.05,
0.93, 0.01, 0.02 were generated, and it is desired to
perform a test for uniformity using the Kolmogorov-
Smirnov test with a level of significance a of 0.05.
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The Chi-square Test

• The chi-square test uses the sample statistic

Where,
Oi is the observed number in the i-th class,
Ei is the expected number in the i-th class, and
n is the number of classes.
For the uniform distribution, Ei the expected number in each class
is given by:
Ei = N/n
for equally spaced classes, where N is the total number of
observations. It can be shown that the sampling distribution of X02 is
approximately the chi-square distribution with n - 1 degrees of freedom
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The Chi-square Test

Algorithm
Step 1: Determine Order Statistics
R1<=R2<=…….Rn
Step 2: Divided Range Rn – R1 in n equidistant intervals [ai,bi], such
that each interval has at least 5 observations.
Step 3: Calculate for i = 1,......,N
Oi=N . { SN(bi) - SN(ai) },
Ei=N . { F(bi) – F(ai) }
Step 4: Calculate

Step 5: Determine for significant level a , X 2a,n-1

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Example 3.8
Q.N > Use the chi-square test with a = 0.05 to test whether
the data shown below are uniformly distributed.
0.34 0.83 0.96 0.47 0.79 0.99 0.37 0.72 0.06 0.18 0.90
0.76 0.99 0.30 0.71 0.17 0.51 0.43 0.39 0.26 0.25 0.79
0.77 0.17 0.23 0.99 0.54 0.56 0.84 0.97 0.89 0.64 0.67
0.82 0.19 0.46 0.01 0.97 0.24 0.88 0.87 0.70 0.56 0.56
0.82 0.05 0.81 0.30 0.40 0.64 0.44 0.81 0.41 0.05 0.93
0.66 0.28 0.94 0.64 0.47 0.12 0.94 0.52 0.45 0.65 0.10
0.69 0.96 0.40 0.60 0.21 0.74 0.73 0.31 0.37 0.42 0.34
0.58 0.19 0.11 0.46 0.22 0.99 0.78 0.39 0.18 0.75 0.73 0.79
0.29 0.67 0.74 0.02 0.05 0.42 0.49, 0.49 0.05 0.62 0.78
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Solution

Above Table contains the essential computations for chi square test. The
test uses n = 10 intervals of equal length, namely [0.0, 0.1), [0.1, 0.2), . . . , [0.9,
1.0). The value of X2 is 3.4.
Here degree of freedom is n-1=10-1=9 and α=0.05. The tabulated value
of X2 0.05, 9 =16.9.Since X02 is much smaller than the tabulated value of chi square,
the null hypothesis of a uniform distribution is not rejected.
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Both the Kolmogorov-Smirnov and the chi-square test

are acceptable for testing the uniformity of a sample of data,
provided that the sample size is large. However, the
Kolmogorov-Smirnov test is the more powerful of the two and is
recommended. Furthermore, the Kolmogorov-Smirnov test can
be applied to small sample sizes, whereas the chi-square is valid
only for large samples, say N>=50.

Imagine a set of 100 numbers which are being tested for

independence where the first 10 values are in the range 0.01-
0.10, the second 10 values are in the range 0.11-0.20, and so
on. This set of numbers would pass the frequency tests with
ease, but the ordering of the numbers produced by the generator
would not be random. The tests in the remainder of this chapter
are concerned with the independence of random numbers which
are generated. The presentation of the tests is similar to that by
Schmidt and Taylor [1970].
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Example 3.9
Q.N > Use the chi-square test with a = 0.05 to test whether
the data shown below are uniformly distributed
In first ranges there are 15 random number , in
second there are 5 random number, in 3rd there are 10
random number, in fourth there are 10 and in 5 th there are
20 random number.
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Example 3.10
Q.N > Use the chi-square test with a = 0.99 to test whether
the data shown below are uniformly distributed
In first ranges there are 10 random number , in
second there are 10 random number, in rd3 there are 15
random number, in fourth there are 15 , in 5 th there are 5
random number. And then 6th ,7th and 8th has 10 , 5 , 10
random numbers.
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Example 3.11
Q.N > Use the chi-square test with a = 0.25 to test whether
the data shown below are uniformly distributed
In first ranges there are 20 random number , in
second there are 9 random number, in 3rd there are 15
random number, in fourth there are 15 and in 5 th there are
13 random number.
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Example 3.12
Q.N > Use the chi-square test with a = 0.75 to test whether
the data shown below are uniformly distributed
In first ranges there are 25 random number , in
second there are 15 random number, in rd3 there are 10
random number, in fourth there are 17 and in 5 th there are
13 random number.
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Chi-Square Vs. K-S Test

K-S test Chi-Square Test
Small samples Large sample
Continuous Distribution Discrete Distribution
Difference between Observed and Differences between observed and
Expected cumulative probabilities hypothesized probabilities (PDFs or
(CDF) PMFs).
Uses each observation in the sample Group observation into a small
without any grouping number of cells
=> makes a better use of the data =>Cell sizes effect the conclusion but
Cell size is not a problem no firm guidelines

Exact Approximate
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Test for independence includes the

three types of tests as given below:
1) Autocorrelation Test tests the correlation between
numbers and compares the sample correlation to the
expected correlation of zero.
2) Gap test Counts the number of digits that appear
between repetitions of particular digit and then uses the
Kolmogorov-Smirnov test to compare with the expected
size of gaps,
3) Poker test: Treats numbers grouped together as a
poker hand. Then the hands obtained are compared to
what is expected using the chi-square test.
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Tests for Autocorrelation

The tests for autocorrelation are concerned with the
dependence between numbers in a sequence. As an example, consider
the following sequence of numbers:
0.12 0.01 0.23 0.28 0.89 0.31 0.64 0.28 0.83
0.93 0.99 0.15 0.33 0.35 0.91 0.41 0.60 0.27
0.75 0.88 0.68 0.49 0.05 0.43 0.95 0.58 0.19
0.36 0.69 0.87
From a visual inspection, these numbers appear random, and they would
probably pass all the tests presented to this point. However, an examination of the
5th, 10th, 15th (every five numbers beginning with the fifth), and so on indicates a
very large number in that position.
Now, 30 numbers is a rather small sample size to reject a random-number
generator, but the notion is that numbers in the sequence might be related. In this
particular section, a method for determining whether such a relationship exists is
described. The relationship would not have to be all high numbers. It is possible to
have all low numbers in the locations being examined, or the numbers may
alternately shift from very high to very low.
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Tests for Autocorrelation

Autocorrelation Test is a statistical test that
determines whether a random number generator is
producing independent random number in a sequence. The
test for the auto correlation is concerned with the
dependence between numbers in a sequence. The test
computes the auto correlation between every m numbers
(m is also known as lag) starting with ith index.
The variables involved in this test are:
• m is the lag, the space between the number being tested.
• i is the index or number from we start.
• N is the number of random numbers generated.
• M is the largest integer such that i+(M+1)m <= N
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Tests for Autocorrelation

• Now the autocorrelation between
Ri, Ri+m, Ri+2m,.……Ri+(M+1)m is computed as

Now the test Statics is where

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Tests for Autocorrelation

Q.N.> Test whether the 3rd, 8th, 13th, and so on, numbers in the
sequence at the beginning of this section are auto-correlated.
(Use a = 0.05.) Here, i = 3 (beginning with the third number), m =
5 (every five numbers), N = 30 (30 numbers in the sequence).
Solution:
First we calculate the value of M using the condition
i + (M+1)m<=N
since i=3, m=5, and N=30
we have,
3 + (M +1)5 <= 30.
i.e. 3+5M+5<=30
I.e. 5M<=22
i.e. M<=22/5
Hence M=4
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Then, ρ35 = 1/( 4 + 1)[ (0.23)(0.28) + (0.28)(0.33) +

(0.33)(0.27) + (0.27)(0.05) + (0.05)(0.36) ] –
0.25 = -0.1945

And
σ35= √ (13(4) + 7) / 12(4 + 1) = 0.1280
Then, the test statistic assumes the value
Z0 = -0.1945/0.1280 = -1.516
Now, the critical value is
Z0.025 = 1.96 (Zα/2 is taken in this test)
Therefore, the hypothesis of independence cannot be rejected on the
basis of this test.
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0.12 0.01 0.23 0.28 0.89 0.31 0.64 0.28 0.83 0.93
0.99 0.15 0.33 0.35 0.91 0.41 0.60 0.27 0.75 0.88
0.68 0.49 0.05 0.43 0.95 0.58 0.19 0.36 0.69 0.87
Then, ρ35 = 1/( 4 + 1)[ (0.23)(0.28) + (0.28)(0.33) + (0.33)(0.27) +
(0.27)(0.05) + (0.05)(0.36) ] – 0.25 = -0.1945
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0.12 0.01 0.23 0.28 0.89 0.31 0.64 0.28 0.83

0.93 0.99 0.15 0.33 0.35 0.91 0.41 0.60 0.27
0.75 0.88 0.68 0.49 0.05 0.43 0.95 0.58 0.19
0.36 0.69 0.87
Q.N.> Test whether the 2nd, 8th, 14th, and so on, numbers
in the sequence at the beginning of this section are auto-
correlated. (Use a = 0.05.) Here, i = 2 (beginning with the
second number), m = 6 (every six numbers), N = 30 (30
numbers in the sequence).
 Simulation and Modeling / [Chapter 5] Nipun Thapa
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0.12 0.01 0.23 0.28 0.89 0.31 0.64 0.28

0.83 0.93 0.99 0.15 0.33 0.35 0.91 0.41
0.60 0.27 0.75 0.88 0.68 0.49 0.05 0.43
0.95 0.58 0.19 0.36 0.69 0.87
Q.N.> Test whether the 6th, 10th, 14th, and so on, numbers
in the sequence at the beginning of this section are auto-
correlated. (Use a = 0.05.) Here, i = 6 (beginning with the
fifth number), m = 4 (every five numbers), N = 30 (30
numbers in the sequence).
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0.12 0.01 0.23 0.28 0.89 0.31 0.64 0.28

0.83 0.93 0.99 0.15 0.33 0.35 0.91 0.41
0.60 0.27 0.75 0.88 0.68 0.49 0.05 0.43
0.95 0.58 0.19 0.36 0.69 0.87
Q.N.> Test whether the 5th, 10th, 15th, and so on, numbers
in the sequence at the beginning of this section are auto-
correlated. (Use a = 0.05.) Here, i = 5 (beginning with the
fifth number), m = 5 (every five numbers), N = 30 (30
numbers in the sequence).
 Simulation and Modeling / [Chapter 5] Nipun Thapa
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0.12 0.01 0.23 0.28 0.89 0.31 0.64 0.28

0.83 0.93 0.99 0.15 0.33 0.35 0.91 0.41
0.60 0.27 0.75 0.88 0.68 0.49 0.05 0.43
0.95 0.58 0.19 0.36 0.69 0.87
Q.N.> Test whether the 2th, 12th, 22th, and so on, numbers
in the sequence at the beginning of this section are auto-
correlated. (Use a = 0.05.) Here, i = 2 (beginning with the
fifth number), m = 10 (every five numbers), N = 30 (30
numbers in the sequence).
 Simulation and Modeling / [Chapter 5] Nipun Thapa
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Gap test
The gap test is used to determine the significance of the
interval between the recurrences of the same digit. A gap of
length x occurs between the recurrences of some specified digit.
The following example illustrates the length of gaps associated
with the digit 3:

4, 1, 3, 5, 1, 7, 2, 8, 2, 0, 7, 9, 1, 3, 5, 2, 7, 9, 4, 1, 6, 3 , 3, 9, 6,
3, 4, 8, 2, 3, 1, 9, 4, 4, 6, 8, 4, 1, 3.

There are 7 three’s are there. Thus only six gaps can
occur. The first gap is of length 10 and second gap of length 7
and third gap of length zero. And so on. Similarly the gap
associated with other digits can be calculated. The theoretical
probability of first gap (of length 10 for digit 3) can be calculated
as
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Gap test
The probability of a particular gap length can be
determined by a Bernoulli trail.

If we are only concerned with digits between 0 and 9, then

The theoretical frequency distribution for randomly

ordered digits is given by
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Gap test
1. Specify the CDF (Cumulative Distributive frequency) from
theoretical frequency distribution given by,
𝐹(𝑥) = 1 − 0.9𝑥+1
Based on the selected class interval
2. Arrange the observed sample of gaps in cumulative
distribution with the same class
3. Find 𝐷, the maximum deviation between 𝐹(𝑥) and 𝑆𝑁(𝑥) as
equation,
𝐷= | 𝐹(𝑥) − 𝑆𝑁(𝑥) |
Where SN (x) = 𝑁𝑜.𝑜𝑓 𝑔𝑎𝑝𝑠 ≤ x
𝑡𝑜𝑡𝑎𝑙 𝑛𝑜.𝑜𝑓 𝑔𝑎𝑝𝑠

4. Determine the critical value of 𝐷𝛼 from the table for the

specified value of α and sample size 𝑁. (KS table)
5. If 𝐷𝑐𝑎𝑙 < 𝐷𝛼, Null hypothesis is not rejected.
 Simulation and Modeling / [Chapter 5] Nipun Thapa
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Example 3.11
Q.N->Based on the frequency with which gaps occur,
analyze the 110 digits below to test whether they are
independent. Use α = 0.05.
4, 1, 3, 5, 1, 7, 2, 8, 2, 0, 7, 9, 1, 3, 5, 2, 7, 9 4, 1, 6, 3, 3, 9,
6, 3, 4, 8, 2, 3, 1, 9, 4, 4, 6, 8, 4, 1, 3, 8, 9, 5, 5, 7, 3, 9, 5, 9,
8, 5, 3, 2, 2, 3, 7, 4, 7, 0, 3, 6, 3, 5, 9, 9, 5, 5 5, 0, 4, 6, 8, 0,
4, 7, 0, 3, 3, 0, 9, 5, 7, 9, 5, 1, 6, 6, 3, 8, 8, 8, 9, 2, 9, 1, 8, 5,
4, 4, 5, 0, 2, 3, 9, 7, 1, 2, 0, 3, 6, 3
 Simulation and Modeling / [Chapter 5] Nipun Thapa
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Solution
The number of gaps is given by the number of data values
minus the number of distinct digits, or 110 —10 = 100 in the
example. The numbers of gaps associated with the various
digits are as follows:

Digit 0 1 2 3 4 5 6 7 8 9
# of Gaps 7 8 8 17 10 13 7 8 9 13
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Relative Cum. Theoretical

Gap Length Frequency Frequency Frequency Frequency |F(x) - SN(x)|
S(X) F(X)
0-3 35 0.35 0.35 0.3439 0.0061
4-7 22 0.22 0.57 0.5695 0.0005
8-11 17 0.17 0.74 0.7176 0.0224
12-15 9 0.09 0.83 0.8147 0.0153
16-19 5 0.05 0.88 0.8784 0.0016
20-23 6 0.06 0.94 0.9202 0.0198
24-27 3 0.03 0.97 0.9497 0.0223
28-31 0 0.00 0.97 0.9657 0.0043
32-35 0 0.00 0.97 0.9775 0.0075
36-39 2 0.02 0.99 0.9852 0.0043
40-43 0 0.00 0.99 0.9903 0.0003
44-47 1 0.01 1.00 0.9936 0.0064
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The critical value of D is given by D0.05 = 1.36 / √100 = 0.136

Since
D = max |F(x) - SN(x) | = 0.0224

is less than D0.05,

we do not reject the hypothesis of independence on the basis of this test.

If 𝐷𝑐𝑎𝑙 < 𝐷𝛼, Null hypothesis is not rejected.

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Example 3.12 : Gap test

Q.N.> Based on the frequency with which gaps occur, analyze the digits below to
test whether they are independent. Use α = 0.05.

Gap Length Frequency

0-4 25
5-9 15
10-14 10
15-19 3
20-24 2
25-29 0
30-34 5
35-39 10
40-44 30
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Example 3.13 : Gap test

Q.N.> Based on the frequency with which gaps occur, analyze the digits below to
test whether they are independent. Use α = 0.05.

Gap Length Frequency

0-2 25
3-5 20
6-8 15
9-11 3
12-14 12
15-17 0
18-20 5
21-23 15
24-26 30
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Example 3.14 : Gap test

Q.N.> Based on the frequency with which gaps occur, analyze the digits below to
test whether they are independent. Use α = 0.2.

Gap Length Frequency

0-5 15
6-10 20
11-15 5
16-20 3
21-25 12
26-30 15
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Example 3.15 : Gap test

Q.N.> Based on the frequency with which gaps occur, analyze the digits below to
test whether they are independent. Use α = 0.05.

Gap Length Frequency

0-10 5
11-20 2
21-30 15
31-40 3
41-50 10
51-60 0
61-70 15
71-80 15
81-90 10
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Example 3.16 : Gap test

Q.N.> Based on the frequency with which gaps occur, analyze the digits below to
test whether they are independent. Use α = 0.05.

Gap Length Frequency

0-9 15
10-19 20
20-29 15
30-39 3
40-49 10
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Example 3.17 : Gap test

Q.N.> Based on the frequency with which gaps occur, analyze the digits below to
test whether they are independent. Use α = 0.05.

Gap Length Frequency

0-1 25
1-3 15
4-6 10
7-9 3
10-12 2
13-15 0
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Poker Test
 The Poker Test is the test for independence based on
the frequency with which certain digits are repeated with
in a series of numbers.
 This test not only tests for the randomness of the
sequence of numbers, but also the digits comprising of
each of the numbers.
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Poker Test
 The expected value of each of the combination of digits
in a number is compared with the observed value by
means of the chi-square test for independence.
 The acceptance is done if the observed value of chi-
square sums for all the possible combinations of digits is
less than the acceptable value for the given degree of
freedom at the specified confidence interval.
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Poker Test
 This test gets its name from a game of cards called
poker
 This test not only tests the randomness of the sequence
of numbers, but also the digits comprising of each
number
 Every random number of five digits or every sequence
of five digits is treated as poker hand.
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Poker Test
 71549 are five different digits
 55137 would be pair
 33669 would be two pairs
 55513 would be three of a kind
 44477 would be a full house
 77774 would be four of a kind
 88888 would be five of a kind
• The occurrence of five of a kind is rare.
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Poker Test
• In 10,000 random and independent numbers of five
digits each, you may be expect the following distribution
of various combinations.

Five different digits 3024 or 30.24%

pairs 5040 or 50.40 %
Two-pairs 1080 or 10.80 %
Three of a kinds 720 or 7.20 %
Full houses 90 or 0.90 %
Four of a kinds 45 or 0.45 %
Five of a kinds 1 or 0.01 %
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Poker Test
 Poker Test - based on the frequency with which certain
digits are repeated.
Example:
0.255 0.577 0.331 0.414 0.828 0.909 0.303
0.001...
Note: a pair of like digits appear in each number
generated.
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Poker Test
 Frequency with certain digits are repeated in a series
of numbers
 Example

• 0.255, 0.577, 0.414, 0.828, 0.909, 0.303, 0.001

 Pair of like digits generated

 For three digits: three possibilities

•  All different
•  All equal
•  One pair of like digits Given a fixed digit, this digit different
3 
P(exactly one pair)   (0.1)(0.9)  0.27
 2
Given a fixed digit, this digit is the same
no. of possibilities
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Poker Test
• P(three different digits)
 P(second different from first) P(third different from first and second)
 (0.9)(0.8)  0.72

• P(three like digits)

 P(second digit same as first) P(third digit same as first and second)
 (0.1)(0.1)  0.01

Poker test:

• Measure observed frequency for the three cases

Compute expected frequency Ei
(probabilities*1000) Perform chi-square test
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Poker Test
In 3-digit numbers, there are only 3 possibilities.
P(3 different digits) =
= P(2nd diff. from 1st) * P(3rd diff. from 1st & 2nd)
= (0.9) (0.8) = 0.72

P(3 like digits) =

= P (2nd digit same as 1st) * P(3rd digit same as 1st)
= (0.1) (0.1) = 0.01

P(exactly one pair) = 1 - 0.72 - 0.01 = 0.27

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Example 3.18
Q.N.> A sequence of 1000 three-digit numbers has been
generated and an analysis indicates that 680 have three
different digits, 289 contain exactly one pair of like digits,
and 31 contain three like digits. Based on the poker test,
are these numbers independent ? Let α = 0.05. Test these
numbers using poker test for three digits.
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Solution
Combination, i Observed Expected (Oi-Ei)
Frequency, Frequency (Oi-Ei)2 Ei /
(Oi) (Ei)
Three Different digit 680 0.72X1000=720 -40 2.22

Three Like digit 31 0.01X1000=10 21 44.10

Exactly one pair 289 0.27X1000=270 19 1.33

1000 1000 47.65

The appropriate degrees of freedom are one less than the number of class
intervals. Since
47.65 > X2 0.05,2 = 5.99 (tabulated value), the independence of the numbers is
rejected on the basis of this test. Here 2 or n-1 is the degree of freedom since
there are only 3 (n) classes.
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Example 3.19
Q.N.> A sequence of three-digit numbers has been
generated and an analysis indicates that 380 have three
different digits, 389 contain exactly one pair of like digits,
and 231 contain three like digits. Based on the poker test,
are these numbers independent ? Let α = 0.05. Test these
numbers using poker test for three digits.
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Example 3.20
Q.N.> A sequence of three-digit numbers has been
generated and an analysis indicates that 320 have three
different digits, 420 contain exactly one pair of like digits,
and 160 contain three like digits. Based on the poker test,
are these numbers independent ? Let α = 0.05. Test these
numbers using poker test for three digits.
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Example 3.21
Q.N.> A sequence of three-digit numbers has been
generated and an analysis indicates that 300 have three
different digits, 500 contain exactly one pair of like digits,
and 200 contain three like digits. Based on the poker test,
are these numbers independent ? Let α = 0.05. Test these
numbers using poker test for three digits.
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In four digit number, there are five different

possibilities
P(four different digits)
= 4c4 x 10/10 x 9/10 x 8/10 x 7/10 = 0.504
P (one pair)
= 4c2 x10/10x1/10x9/10x8/10=0.432
P (two pair)
= 4c2/2 x 10/10 x 1/10 x 9/10 x 1/10 = 0.027
P (three digits of a kind)
= 4c3 x 10/10 x 1/10 x 1/10 x 9/10 = 0.036
P (four digits of a kind)
= 4c4 x 10/10 x 1/10 x 1/10 x 1/10 = 0.001
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Example 3.22 (TU 2067/ 10mars)

Q.N.> Explain the independence test. A sequence of 1000
four digit numbers has been generated and an analysis
indicates the following combinations and frequencies.
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solution
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Example 3.23 (TU 2072/ 10 marks)

•

Combination i Observed Frequency 0 i

Four different digit 565
One pair 392
Two pair 17
Three like digits 24
Four like digits 2
1000
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Example 3.24 (TU 2073/ 10 marks)

•
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Example 3.24 (TU 2071/ 10 marks)

• What do you mean by uniformity test? Explain the Poker

test with example. [ ]
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Calculation of Expected Value for Poker

Test of 5-Digit Random Numbers
 5 different Digits
P(5diff)= 1 * 0.9 * 0.8 * 0.7 * 0.6 = 0.3024
 1 Pair and 3 different digits
P(1pair)= 5C2 * 1 * 0.1 * 0.9 * 0.8 * 0.7 = 0.5040
 2 Pairs
P(2pairs)= (5C2 )/2 * 3C2 * 1 * 0.1 * 0.9 * 0.1 * 0.8 = 0.108
 3 of a kind
P(3same)= 5C3 * 1 * 0.1 * 0.1 * 0.9 * 0.8= 0.072
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Calculation of Expected Value for Poker

Test of 5-Digit Random Numbers
 Full House
P(full)= 5C2 * 1 * 0.1 * 0.1 *0.9 * 0.1= 0.009
 Four of a Kind
P(four)= 5C1 * 1 * 0.1 * 0.1 * 0.1 * 0.9 = 0.0045
 Five of a Kind
P(five)= 1 * 0.1 * 0.1 * 0.1 * 0.1 = 0.0001
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Q.N.1 Use the linear congruential method to generate a sequence of

random numbers with X0 = 17, a= 10, c = 43, and m = 50.Random
numbers between zero and 1 can be generated by (Ri =Xi/m)

Q.N.2 .Let m = 100, a = 29, and X0 = 63, and generate a sequence c

random integers. Find first 5 random number generate using any
suitable method??

Q.N.3 Suppose that the five numbers 0.4 , 0.8, 0.34, 0.06, 0.3 were
generated, and it is desired to perform a test for uniformity using the
Kolmogorov-Smirnov test with a level of significance a of 0.05. (from
Table A.8 for a = 0.05 and N= 5, is 0.565.)

Q.N.4 Use the chi-square test with a = 0.99 to test whether the data
shown below are uniformly distributed
In first ranges there are 30 random number , in second there
are 9 random number, in 3 rd there are 25 random number, in fourth
there are 10 and in 5 th there are 15 random number. (From table
X20.99,4= 0.297)
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0.12 0.01 0.23 0.28 0.89 0.31 0.64 0.28

0.83 0.93 0.99 0.15 0.33 0.35 0.91 0.41
0.60 0.27 0.75 0.88 0.68 0.49 0.05 0.43
0.95 0.58 0.19 0.36 0.69 0.87
Q.N.5> Test whether the 5th, 10th, 15th, and so on,
numbers in the sequence at the beginning of this section
are auto-correlated. (Use a = 0.05.) Here, i = 5 (beginning
with the fifth number), m = 5 (every five numbers), N = 30
(30 numbers in the sequence). {Z0.025 = 1.96 (Zα/2 is taken in
this test)}
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Q.N.6. Based on the poker test, are these numbers independent

? Let α = 0.05. Test these numbers using poker test for
four digits.

300
400
150
35
15
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Q.N.7> Based on the frequency with which gaps occur, analyze the digits below
to test whether they are independent. Use α = 0.05.

Gap Length Frequency

0-4 35
5-9 5
10-14 10
15-19 4
20-24 1
25-29 0
30-34 5
35-39 15
40-44 25

The critical value of D is given by D0.05 = 1.36 / √100 = 0.136

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Q.N.8> A sequence of 1000 three-digit numbers has been

generated and an analysis indicates that 780 have
three different digits, 189 contain exactly one pair of
like digits, and 31 contain three like digits. Based on
the poker test, are these numbers independent ? Let
α = 0.05. Test these numbers using poker test for
three digits. {X2 0.05,2 = 5.99 (tabulated value)}
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Non Uniform Random Number Generation /

Random Variate generation
A random variable is a measurable mapping having
some distribution, and a random Variate is just a member
of the co-domain of a random variable. A random
Variate is a particular outcome of a random variable.
Random Variates are the samples generated
from a known distribution i.e. Random Variable and
Random Variates have an inverse relationship.
Suppose X is a random variable which stands for the
outcome of tossing a fair dice. So X can take value from 1
through 6 with equal probability of 1/6. Now you actually
toss a dice and get a number 4. This number is a particular
outcome of X, and thus a random Variate. If you toss again,
you may get another different value.
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1. Non Uniform Transformation Method / Inverse

Transform Method
The inverse transform technique can be used to
sample from the exponential, uniform, triangular distribution
etc. by inversing the CDF of those probability distributions.
The inverse transform technique can be utilized for any
distribution when the cdf, F(x), is of a form that its inverse,
F-1 can be computed easily.
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1. Non Uniform Transformation Method / Inverse

Transform Method
a) Exponential Distribution

The exponential distribution has the probability function (pdf)

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a) Exponential Distribution
The random Variate generation process is summarized in
following steps:

Equation (1) is called random Variate generator for the exponential distribution.
In general equation (1) is written as X = F -1(R)
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Example 3.16 : Generation of Exponential Variates Xi

with mean 1 (λ=1), given random numbers Ri

Solution:
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Example 3.18 : Generation of Exponential Variates Xi

with number of occurrence per unit time is 3 , given
random numbers Ri
i 1 2 3 4 5 6 7 8 9
Ri 0.32 0.2 0.01 0.121 0.55 0.11 0.4 0.7 0.22
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Example 3.19 : Generation of Exponential Variates Xi

with number of occurrence per unit time is 2 , given
random numbers Ri
i 1 2 3 4 5 6 7 8 9
Ri 0.231 0.12 0.11 0.021 0.45 0.112 0.54 0.731 0.12
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Example 3.20: Generation of Exponential Variates Xi

with number of occurrence per unit time is 5 , given
random numbers Ri
i 1 2 3 4 5 6 7 8 9
Ri 0.1 0.2 0.01 0.31 0.435 0.512 0.514 0.173 0.122
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Example 3.17 : Generation of Exponential Variates Xi

with number of occurrence per unit time is 8 , given
random numbers Ri
i 1 2 3 4 5 6 7 8 9
Ri 0.2 0.1 0.411 0.121 0.415 0.312 0.154 0.531 0.132
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Example 3.17 : Generation of Exponential Variates Xi

with number of occurrence per unit time is 4 , given
random numbers Ri
i 1 2 3 4 5 6 7 8 9
Ri 0.261 0.172 0.11 0.721 0.745 0.172 0.574 0.771 0.172
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b) Uniform Distribution:
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Generation of Uniform Distribution Xi with number of given

random numbers Ri , where a=0.2, b=0.9
i 1 2 3 4 5 6 7 8 9
Ri 0.261 0.172 0.11 0.721 0.745 0.172 0.574 0.771 0.172
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Generation of Uniform Distribution Xi with number of given

random numbers Ri , where a=0.15, b=0.8
i 1 2 3 4 5 6 7 8 9
Ri 0.2 0.1 0.411 0.121 0.415 0.312 0.154 0.531 0.132
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Generation of Uniform Distribution Xi with number of given

random numbers Ri , where a=0.2, b=0.9
i 1 2 3 4 5 6 7 8 9
Ri 0.1 0.2 0.01 0.31 0.435 0.512 0.514 0.173 0.122
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c) Triangular Distribution
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Generation of Triangular Distribution Ri with number of given

random numbers Xi
i 1 2 3 4 5 6 7 8 9
xi 0.1 0.2 0.01 1.31 0.435 0.512 0.514 1.173 2.122
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Generation of Triangular Distribution Ri with number of given

random numbers Xi
i 1 2 3 4 5 6 7 8 9
xi 0.231 1.2 0.01 1.31 2.435 0.512 0.514 1.173 2.122
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2. Acceptance /Rejection method

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Finished Unit 3 !!!!