生成均值和方差已知的随机数 [英] Generating random numbers with known mean and variance

问题描述

从我正在阅读的一篇论文中可以知道:

From a paper I'm reading right know:

...
S(t+1, k) = S(t, k) + ... + C*∆
...
∆ is a standard random variable with mean 0 and variance 1.
...

如何生成具有此均值和方差的一系列随机值?如果有人链接到C或C ++库，我会很高兴，但是如果有人告诉我怎么做，我也不介意自己实现它:)

How to generate this series of random values with this mean and variance? If someone has links to a C or C++ library I would be glad but I wouldn't mind implementing it myself if someone tells me how to do it :)

推荐答案

您对\Delta的发行有任何限制吗?如果不是，您可以在[-sqrt(3), sqrt(3)]中使用统一分布.之所以可行，是因为对于均匀分布[a,b]，方差为1/(12) (b-a)^2.

Do you have any restrictions on the distribution of \Delta ? if not you can just use a uniform distribution in [-sqrt(3), sqrt(3)]. The reason why this would work is because for an uniform distribution [a,b] the variance is 1/(12) (b-a)^2.

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