Monte Carlo Tips
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When I was working on my PhD thesis, I had to write a Monte Carlo simulation where I had to generate random numbers following a Maxwellian distribution and other distributions of the same kind. I couldn't find any good way to do that in the literature.
I found formulae for exponential and gaussian laws, but that was it! I still have a hard time believing that the algorithms I developed were unknown before, but to this day I haven't seen them anywhere and saw several times people using a general trial-rejection algorithm (valid for any distribution, but much slower).
I will present also the well-known algorithms for the exponential and gaussian laws, since they will help to understand the other cases. (These can be found in the Numerical Recipes).
Last Updated ( Saturday, 29 May 2010 08:46 )