Re: [Help-gsl] random number generators

[Toralf Niebuhr]

Am 18.04.2011 um 14:53 schrieb X Statistics:

> Question still is. If I have different random variables, should I use the 
> same random number generator or should I have a new one for every random 
> variable. If I should use a new one. How do I obtain the deterministic 
> sequence of initial seeds such that the different generators produce good 
> independent sequences?
> 
> You do not need different RNGs for differing random variables. For example, 
> you can generate from a normal distribution and from a gamma distribution 
> using the same RNG. 
> 
> For instance, people working with Bayesian statistics run a Markov chain 
> Monte Carlo algorithm, such as the Gibbs sampler, with a single RNG (eg. 
> gsl_rng_mt19937). In that algorithm, you may sample from different 
> conditional distributions (normal, gamma, beta, multivariate normal, 
> Student-t, Wishart, etc) using the same RNG. 
> 
> That being said, if you use GSL, then initialize your RNG and use it in your 
> whole program. (The same happens in R and Matlab.) Thus, you only need to 
> save one RNG SEED.
> 
> Ralph.
> 
> 
Thanks for the help.
This was all I wanted to know.

Toralf Niebuhr