Random number generators are built into most home computers now, so many more people are getting a chance to use them then ever before. Usually, a 'random number generator' manufactures, on demand, numbers t between 0 and 1, produced in such a manner as to be equally likely to reside anywhere in that interval. More precisely, if [a, b] is a subinterval of (0,1), then the probability that the next random number ( lies in [a, b] is b a. For an ideal random number generator that statement would be true for every [a, b] c (0,1). Given such a supply of random numbers, it is easy to produce other kinds of distributions by various manipulations. To choose a number X uniformly at random in the interval (7,13), for instance, we would write X = 7 + 6t, where ( is a random number. Again, to choose an integer L uniformly at random between 0 and n, just set L = [ (n + 1)J, in which ( is a random number and '1 ',is the greatest integer function. Sometimes we want numbers that aren't equally likely to turn up everywhere, but instead are more likely to lie in some places than in others. These can be obtained by twisting random numbers out of shape, and some fearsomely ingenious constructions have been suggested, over the years, in order to achieve various kinds of twists. See Chapter 3 of [3] for accounts of some of these. Among nonuniform distributions one of the most important is the exponential distribution, which describes positive real numbers X that are chosen in such a way that for every t > 0, the probability that X < t is 1 e. It is therefore more likely that X lies between l and 2 (the chance is e-l e-2 = .232), say, than between 8 and 9 (probability e-8 e-9 = .00021), etc. The exponential distribution occurs naturally in many situations. Two categories of these are waiting time problems and particle diffusion problems. In waiting line ('queueing') simulations it is frequently the case that it is more likely that we wait a shorter time and less likely a longer time. Hence in a computer simulation it is often desirable to select the delay times from the exponential distribution. Likewise, when a particle bounces around in a diffusing medium, it is more probable that it will travel a shorter distance D between successive collisions with molecules of the medium than a longer distance. Under reasonable assumptions it isn't hard to show that D obeys the exponential distribution. A question of mathematical interest and beauty, as well as of practical application (a happy combination) is then the following: given a random number generator, how shall we select numbers X that have the exponential distribution? Here's the quick answer (then we'll look at two other ways). First choose a random number (, then calculate X = log (. That's all. We claim that the numbers X that are so produced have the exponential distribution. To see that we need perform only the following calculation ('Prob' means 'the probability of'):
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