ABSTRACT
To perform simulations, we often need to draw random samples from a certain probability distribution. Typically, the simplest and most important random sampling procedure is sampling from the uniform distribution over (0, 1), denoted by U (0, 1). The computer-generated “random” number is not truly random because the sequence of the numbers is determined by the so-called seed, an initial number. Random variates from other distributions can often be obtained by applying a transformation to uniform variates. There are usually several algorithms available to generate random numbers from a particular distribution. The algorithms differ in speed, accuracy, and the computer memory required.
