如何使用c ++生成不相关的随机序列 [英] how to generate uncorrelated random sequences using c++

问题描述

我想生成两个不相关的正态分布随机数X ₁ ，X ₂ 序列.

由于正态分布随机数来自统一数，所以我需要的是两个不相关的统一序列.但是如何使用:

srand (time(NULL));

我想我需要播种两次或做类似的事情?

解决方案

由于高质量随机数生成器生成的随机数是统一且独立的，因此您可以根据需要从中生成尽可能多的独立序列. /p>

您不需要，并且不应播种两个不同的生成器.

在C ++(11)中，应使用标题<random>中的伪随机数生成器.这是一个最小的示例，可以用作实际实施的模板:

std::random_device seed;
std::mt19937 gen{seed()};

std::normal_distribution<> dist1{mean1, sd1};
std::normal_distribution<> dist2{mean2, sd2};

现在，您可以通过调用dist1(gen)和dist2(gen)来生成独立的数字序列. random_device用于播种实际的生成器，在我的代码中是Mersenne Twister生成器.这种类型的生成器高效且具有良好的统计特性.对于非加密安全的生成器，应将其视为默认选择.

I'd like to generate two sequences of uncorrelated normal distributed random numbers X₁, X₂.

As normal distributed random numbers come from uniform numbers, all I need is two uncorrelated uniform sequences. But how to do it using:

srand (time(NULL));

I guess I need to seed twice or do something similar?

解决方案

Since the random numbers generated by a high-quality random-number generator are uniform and independent, you can generate as many independent sequences from it as you like.

You do not need, and should not seed two different generators.

In C++(11), you should use a pseudo-random number generator from the header <random>. Here’s a minimal example that can serve as a template for an actual implementation:

std::random_device seed;
std::mt19937 gen{seed()};

std::normal_distribution<> dist1{mean1, sd1};
std::normal_distribution<> dist2{mean2, sd2};

Now you can generate independent sequences of numbers by calling dist1(gen) and dist2(gen). The random_device is used to seed the actual generator, which in my code is a Mersenne Twister generator. This type of generator is efficient and has good statistical properties. It should be considered the default choice for a (non cryptographically secure) generator.

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