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Re: Random replacement

  • To: mathgroup at smc.vnet.net
  • Subject: [mg50523] Re: [mg50496] Random replacement
  • From: sean kim <sean_incali at yahoo.com>
  • Date: Thu, 9 Sep 2004 05:17:36 -0400 (EDT)
  • Reply-to: sean_incali at yahoo.com
  • Sender: owner-wri-mathgroup at wolfram.com
Hi andrej

is there any tests to see whether or not I have put it
in the proper folder and it is working as i wish? 

thanks in advance for any insights, 

sean 


--- Andrzej Kozlowski <andrzej at akikoz.net> wrote:

> I have written a small "package" intended to as a
> workaround for the 
> problem with the built in Random function fully
> explained by Daniel 
> Lichtblau in:
> 
>
<http://library.wolfram.com/mathgroup/archive/2000/May/msg00088.html>
> 
> The "package" simply implements Daniel's workaround
> described in his 
> posting. In fact it is not a proper package (it
> defines no new 
> contexts) but simply a init.m file which, if loaded
> on Kernel startup 
> (this will happen if you put it into folder Kernel
> in the folder 
> Autoload in your $UserAddOnsDirectory directory)
> will replace all calls 
> to the SW algorithm that has been causing some
> problems by  calls to 
> Wolfram's "rule 30" CA automaton random number
> generator. (Actually it 
> does not deal with large - more than 31 bit- integer
> calls). Of course, 
> one can also copy the contents of the package and
> paste into an 
> existing init.m file.
> The only advantage of this package, compared with
> very similar 
> workarounds that have been mentioned several times
> on this list (which 
> were based on defining a Random[] substitute called
> MyRandom or 
> something like that)  is that it does not require
> modifying the code 
> for individual distributions in various statistics
> packages: by 
> replacing Random itself we can deal with all the
> cases at once.
> 
> The reason why I wrote this package was because I
> was obtaining 
> inaccurate values for option pricing using
> Monte-Carlo simulation with 
> the built in Random and the NormalDistribution
> package. With the 
> replacement init.m file loaded these values have
> become noticeably 
> better. I assume similar improvements should show up
> in programs that 
> use simulation with a large number of samples with
> other distributions.
> 
> The package can be downloaded from any of my two
> (identical) sites:
> 
> http://www.akikoz.net/~andrzej//Mathematica/   (in
> Japan)
> 
> http://www.mimuw.edu.pl/~akoz/Mathematica/      (in
> Poland)
> 
> The name of the "package" is simply init.m.
> 
> 
> Andrzej Kozlowski
> Chiba, Japan
> http://www.akikoz.net/~andrzej/
> http://www.mimuw.edu.pl/~akoz/
> 
> 



		
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