1
vote
1answer
285 views

What are the differences between the random walk and the gaussian random walk?

I know the random walk mobility model, but I can not understand what are the differences with respect to gaussian random walk. In other words, I know how to implement the two-dimensional random walk: ...
0
votes
3answers
948 views

Simulation of 2-dimensional Brownian motion

I am trying to simulate (for the first time) a 2-dimensional SDE, in Matlab. $$X(t)=F(t,X(t))\,dt + \sigma(t,X(t))\,dBt$$ I have no problem using the Euler-Maruyama method in the one dimensional ...
4
votes
1answer
199 views

Pseudo random number generator: Why not to use “too many” random variables in one application

I found statement in an article "Good Practice in ( Pseudo ) Random Number Generation for Bioinformatics Applications" that you should not use too many random variables in a single simulation. Authors ...
2
votes
2answers
667 views

Generating random array in Maple

I'm trying to do simulation in Maple, but I can't figure out how to do the following: How does one generate a set of random whole numbers in an array of 24 element (in 1 column) where the sum of the ...
0
votes
2answers
185 views

Random and Pseudo-random number generation

I heard that computation results can be very sensitive to choice of random number generator. I wonder whether it is relevant to program own Mersenne-Twister or other pseudo-random routines to get a ...
0
votes
1answer
302 views

Why are random numbers necessary for a Monte Carlo simulation?

This may be somewhat of a question with an obvious answer, but I can not seem to understand the necessity of "truly" random numbers to make a Monte Carlo simulation a good one. I understand that not ...
3
votes
0answers
177 views

Simulation and Stochastic Processes

Supposing we want to take a sample from the distribution $p(x)=cp^*(x)$ where $c$ is the normalization constant and $p^*(x)$ is given by $$p^*(x)=0.5\exp(-(x-\mu_1)^2)+0.5\exp(-(x-\mu_2)^2).$$ ...
0
votes
1answer
156 views

Algorithms and Simulation

Supposing we want to take a sample from a $N(0,1)$ distribution and i can take a sample from a $N(0,σ^2)$. (a) Construct a disposal/rejection algorithm with function $N(0,σ^2)$, which generates a ...