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Quantitative Finance · Glossaire

Qu'est-ce que « Pseudo-random and counter-based generators, inverse transform sampling » ?

Aussi appelé : pseudo-random number generator · counter-based generator · inverse transform sampling

Definition 26.3 Quantitative Methods · Chapitre 26 — Monte Carlo

A pseudo-random number generator is a deterministic recurrence sk+1=F(sk)s_{k+1} = F(s_k), uk=G(sk)u_k = G(s_k) whose outputs pass statistical tests of independent uniformity; the Mersenne Twister (Matsumoto and Nishimura, 1998) and PCG (O’Neill, 2014; NumPy’s default) are examples. A counter-based generator computes u=Gk(c)u = G_k(c) directly from a counter cc and a key kk with a bijection GkG_k, so that any draw can be produced without its predecessors; Philox (Salmon, Moraes, Dror and Shaw, 2011) is one. Inverse transform sampling turns a uniform UU into a draw F−1(U)F^{-1}(U) of the distribution function FF.

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