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congruential generator method


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A method for generating a sequence of pseudo-random numbers. Let xn, the nth number in the sequence, be an integer such that 0≤xnm-1. Then xn+1, the next number in the sequence, is given by the relationxn +1=(a+bxn)   mod (m), where a and b are constants. The right-hand side of this equation should be interpreted as an instruction to subtract a suitable integer multiple of m from (a+bxn) so as to obtain a value xn+1 such that 0≤xn+1m-1. The values of a, b, and m have to be chosen carefully in order to get a useful sequence of x-values.

Subjects: Probability and Statistics.


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