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/ > > __________________________________ Do you Yahoo!? New and Improved Yahoo! Mail - Send 10MB messages! http://promotions.yahoo.com/new_mail
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