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Daugherty - Presentation - Validating A Random Number Generator

Validating a Random Number Generator (RNG) involves testing if the RNG produces numbers that are statistically unpredictable and conform to expected probability distributions. Here's a comprehensive guide on how to validate an RNG

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4 views15 pages

Daugherty - Presentation - Validating A Random Number Generator

Validating a Random Number Generator (RNG) involves testing if the RNG produces numbers that are statistically unpredictable and conform to expected probability distributions. Here's a comprehensive guide on how to validate an RNG

Uploaded by

aset gis
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PPT, PDF, TXT or read online on Scribd
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Validating a Random

Number Generator
Based on:
A Test of Randomness Based on the Consecutive
Distance Between Random Number Pairs
By:
Matthew J. Duggan, John H. Drew, Lawrence M. Leemis

Presented By:
Sarah Daugherty
MSIM 852
Fall 2007
Introduction
 Random numbers are critical to Monte
Carlo simulation, discrete event simulation,
and bootstrapping

 There is a need for RNG with good


statistical properties.

 One of the most popular methods for


generating random numbers in a computer
program is a Lehmer RNG.
Daugherty MSIM 852 Fall 2007
Lehmer Random Number
Generators
 Lehmer’s algorithm: an iterative equation
produces a stream of random numbers.
 xi 1 axi mod m

 Requires 3 inputs: m, a, and x0.


 m = modulus, a large fixed prime number
 a = multiplier, a fixed positive integer < m
 x0 = initial seed, a positive integer < m

 Produces integers in the range (1, m-1)

Daugherty MSIM 852 Fall 2007


Problem
 Lehmer RNG are not truly random
 With carefully chosen m and a, it’s possible to
generate output that is “random enough” from a
statistical point of view.

 However, still considered good generators


because their output can be replicated,
they’re portable, efficient, and thoroughly
documented.

 Marsaglia (1968) discovered too much


regularity in Lehmer RNG’s.
Daugherty MSIM 852 Fall 2007
Marsaglia’s Discovery
 He observed a lattice structure when consecutive
random numbers were plotted as overlapping ordered
pairs.
 ((x0, x1, x2,…, xn),
(x1, x2,…, xn+1))

 Lattice created using


m = 401, a = 23.

 Does not appear to be


random at all; BUT a
degree of randomness
MAY be hidden in it.
Daugherty MSIM 852 Fall 2007
Solution
 Find the hidden randomness in the order in
which the points are generated.

 The observed distribution of the distance


between consecutive RN’s should be close
to the theoretical distance.

 Develop a test based on these distances.


 Hoping to observe that points generally are not
generated in order along a plane or in a regular
pattern between planes.
Daugherty MSIM 852 Fall 2007
Overlapping vs. Non-
overlapping Pairs
 Considering distance between consecutive
pairs of random numbers, points can be
overlapping or non-overlapping.
 Overlapping: (xi, xi+1), (xi+1, xi+2)
 Non-overlapping: (xi, xi+1), (xi+2, xi+3)

 Both approaches are valid.

 The non-overlapping case is mathematically


easier in that the 4 numbers represented
are independent therefore the 2 points they
represent are also independent.
Daugherty MSIM 852 Fall 2007
Non-overlapping Theoretical
Distribution
 If we assume X1, X2, X3, X4 are IID U(0,1)
random variables, we can find the distance
between (X1, X2) and (X3, X4) by:

2 2
D  ( X1  X 3 )  ( X 2  X 4 )

Daugherty MSIM 852 Fall 2007


Non-overlapping Theoretical
Distribution
 The cumulative
distribution, F(x),
of D.

Daugherty MSIM 852 Fall 2007


Goodness-of-Fit Test
 Now we can compare our theoretical distribution
against the Lehmer generator.

 Convert the distances between


^
points into an
empirical distribution, F(x), which will allow us to
perform a hypothesis test.
^
^ N ( x) H 0 : F ( x) F0 ( x)
F ( x) 
n ^
H1 : F ( x)  F0 ( x)
N(x) = # of values that do
not exceed x
n = # of distances collected
Daugherty MSIM 852 Fall 2007
Classification of Results
 Based on results of 3 hypothesis tests (KS,
CVM, and AD tests), each RNG can be
classified as:

 Good – the null hypothesis was not rejected in


any test.

 Suspect – the null hypothesis was rejected in 1 or


2 of the tests.

 Bad – the null hypothesis was rejected in all 3


tests.
Daugherty MSIM 852 Fall 2007
Results

 Interesting cases are when a multiplier is


rejected by only 1 or 2 of the 3 tests. See
a = 3 in table.

Daugherty MSIM 852 Fall 2007


Random
number
pairs

Distances
connecting
pairs

F(x) (solid)
vs.
^
F(x)
Good Suspect Bad (dotted)

Daugherty MSIM 852 Fall 2007


Summary
 A test of randomness was developed for
Lehmer RNG’s based on distance between
consecutive pairs of random numbers.

 Since some multipliers are rejected by


only one or two of the 3 hypothesis tests,
the distance between parallel hyperplanes
should not be used as the only basis for a
test of randomness. The order in which
pairs are generated is a second factor to
consider.

Daugherty MSIM 852 Fall 2007


Critique
 Potential – limited. Many other tests exist for
validating RNG’s.

 Impact – minimal. Frequently used RNG’s use a


modulus much larger than the m=401 used here.

 Overall – paper is well written; in it’s current state,


this test is a justified addition to collection of tests
for RNG’s.

 Future – use larger modulus; improve theoretical


distribution by improving numerical calculations of
integral for cdf; test other non-Lehmer generators
such as additive linear, composite, or quadratic.

Daugherty MSIM 852 Fall 2007

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