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generating non-IID random sequences

• To: mathgroup at smc.vnet.net
• Subject: [mg79094] generating non-IID random sequences
• From: Yaroslav Bulatov <yaroslavvb at gmail.com>
• Date: Wed, 18 Jul 2007 03:01:01 -0400 (EDT)

I'm looking for a fast way to sample from a Markov-1 sequence of
random bits. The method below is 3600 times slower than built-in
RandomInteger function, can it be made much faster?

p = 0.9; (* the probability of encountering 00 or 11 *)
f = RandomChoice[{p^# (1 - p)^(1 - #), p^(1 - #) (1 - p)^#} -> {1, 0}]
&;
NestList[f, RandomChoice[{0, 1}], 100000]

• Follow-Ups:
  • Re: generating non-IID random sequences
    • From: Darren Glosemeyer <darreng@wolfram.com>