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Examining random number generators used in stochastic iteration algorithms

Szirmay-Kalos, L., Liktor, G., Penzov, A.A., Dimov, I., Skala, K. and Szecsi, L. (2008) Examining random number generators used in stochastic iteration algorithms. In: International Conference Automatics and Informatics, Bulgaria.

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This paper investigates random number generators in stochastic iteration algorithms that require infinite uniform sequences. We take a simple model of the general transport equation and solve it with the application of a linear congruential generator, the Mersenne twister, the mother-of-all generators, and a true random number generator based on quantum effects. With this simple model we show that for reasonably contractive operators the theoretically not infinite-uniform sequences perform also well. Finally, we demonstrate the power of stochastic iteration for the solution of the light transport problem.

Item Type:Conference or Workshop Item (Paper)
ID Code:14881
Uncontrolled Keywords:Monte Carlo methods, random number generators, stochastic iteration, transport problems

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