random number generation and Monte Carlo simulation in C++

[mescaline]

hi,

i'm new to C++

could anyone refer me to a good site / good examples of random
numbers?

in particular including:
1) the commnds to obtain normally and exponenetially distributed r
numbers
2) how the above types of random numbers are generated from uniform
rvs

i need to generate random numbers, normal and exponenetial, and then
use them in a Monte Carlo simulation to obtain their mean and
variance.
So any Monte Carlo code direction would also be appreciated.

I crudely know how to do this (because i've done it matlab) but I am
aiming to be professional in C++ and would like to do the above
generation in a sophisiticated way.

thanks
m

 

[llewelly]

hi,

i'm new to C++

could anyone refer me to a good site / good examples of random
numbers?

[snip]

http://www.boost.org/libs/random/

 

[Chris Theis]

hi,

i'm new to C++

could anyone refer me to a good site / good examples of random
numbers?

Check out for example the boost library.

in particular including:
1) the commnds to obtain normally and exponenetially distributed r
numbers

There are no such commands available. The "only" thing available is a random
generator which delivers (more or less) uniform numbers but this is enough.

2) how the above types of random numbers are generated from uniform
rvs

To obtain a normal distribution check out the Box Mueller formula and for
exponential distributed numbers you can easily use the transformation
method.

i need to generate random numbers, normal and exponenetial, and then
use them in a Monte Carlo simulation to obtain their mean and
variance.
So any Monte Carlo code direction would also be appreciated.

I crudely know how to do this (because i've done it matlab) but I am
aiming to be professional in C++ and would like to do the above
generation in a sophisiticated way.

You could go ahead implementing a base class like a CRandomKernel which
includes a good random generator for a uniform distribution. This base class
might also implement for example a rejection method or other sampling
algorithms and for a specialized distribution you might derive and supply
your specialized PDF or you could solve it providing function pointers.

HTH
Chris

 

[Greg Schmidt]

Check out for example the boost library.

That is indeed a good site to look at. A good example of a random
number is 65481.

There are no such commands available. The "only" thing available is a random
generator which delivers (more or less) uniform numbers but this is enough.

In fact the boost random number library includes a number of
distribution types, normal and exponential being two of them.

 

[Cy Edmunds]

hi,

i'm new to C++

could anyone refer me to a good site / good examples of random
numbers?

in particular including:
1) the commnds to obtain normally and exponenetially distributed r
numbers
2) how the above types of random numbers are generated from uniform
rvs

i need to generate random numbers, normal and exponenetial, and then
use them in a Monte Carlo simulation to obtain their mean and
variance.
So any Monte Carlo code direction would also be appreciated.

I crudely know how to do this (because i've done it matlab) but I am
aiming to be professional in C++ and would like to do the above
generation in a sophisiticated way.

thanks
m

Click on the link in my sig and find the UVS library.