John Mora Carrillo

SIMULATION

HOMEWORK 2 CHAPTER 2
RANDOM NUMBERS AND RANDOM VARIABLES

1. Use the linear algorithm to generate a sequence of three two-digit random integers
and corresponding numbers. Let X0 = 27, a = 8, c = 47, and m = 100.

𝑥𝑖+1 = (𝑎𝑥𝑖 + 𝑐)𝑚𝑜𝑑 𝑚

𝑥𝑖+1
𝑟𝑖 =
𝑚−1
63
𝑥1 = (8 ∗ 27 + 47)𝑚𝑜𝑑 100 𝑥1 = 263𝑚𝑜𝑑 100 = 63 𝑟1 = = 0.63
99
51
𝑥2 = (8 ∗ 63 + 47)𝑚𝑜𝑑 100 𝑥2 = 551𝑚𝑜𝑑 100 = 51 𝑟2 = 99
= 0.51
55
𝑥3 = (8 ∗ 51 + 47)𝑚𝑜𝑑 100 𝑥3 = 455𝑚𝑜𝑑 100 = 55 𝑟3 = = 0.55
99

2. Use the multiplicative congruential algorithm to generate a sequence of four three-

digit random integers and corresponding random numbers. Let X0 = 117, a =43, and
m = 1000.
𝑥𝑖+1 = (𝑎𝑥𝑖 )𝑚𝑜𝑑 𝑚
𝑥𝑖+1
𝑟𝑖 =
𝑚−1
31
𝑥1 = (43 ∗ 117)𝑚𝑜𝑑 1000 𝑥1 = 5031𝑚𝑜𝑑 1000 = 031 𝑟1 = = 0.031
999
333
𝑥2 = (43 ∗ 31)𝑚𝑜𝑑 1000 𝑥2 = 1333𝑚𝑜𝑑 1000 = 333 𝑟1 = 999
= 0.333
319
𝑥3 = (43 ∗ 333)𝑚𝑜𝑑 1000 𝑥3 = 14319𝑚𝑜𝑑 1000 = 319 𝑟1 = = 0.319
999
717
𝑥4 = (43 ∗ 319)𝑚𝑜𝑑 1000 𝑥3 = 13717𝑚𝑜𝑑 1000 = 717 𝑟1 = 999
= 0.717

3. The sequence of numbers 0.54, 0.73, 0.98, 0.11, and 0.68 has been generated. Use
the Kolmogorov-Smirnov test with α= 0.05 to learn whether the hypothesis that the
numbers are uniformly distributed on the interval [0, 1] can be rejected.

Ri 0.11 0.54 0.68 0.73 0.98

i/N 0.20 0.40 0.60 0.80 1.00
i/N – Ri 0.09 - - 0.07 0.02
Ri – (i-1)/N 0.11 0.34 0.40 0.13 0.18

𝐷 + = 0.09 𝐷 − = 0.34
+ −)
𝐷 = max(𝐷 , 𝐷 = max(0.09,0.34) = 0.34
𝑓𝑜𝑟 ∝= 0.05 → 𝐷0.05,5 = 0.56328

𝐷0.05,5 < 𝐷 → 𝑇ℎ𝑒 𝐻0 𝑖𝑠 𝑛𝑜𝑡 𝑟𝑒𝑗𝑒𝑐𝑡𝑒𝑑, 𝑠𝑜 𝑡ℎ𝑒 𝑛𝑢𝑚𝑏𝑒𝑟𝑠 𝑎𝑟𝑒 𝑢𝑛𝑖𝑓𝑜𝑟𝑚𝑙𝑦 𝑑𝑖𝑠𝑡𝑟𝑖𝑏𝑢𝑡𝑒𝑑
John Mora Carrillo

4. Use Chi-square test, with α = 0.05, to learn whether the hypothesis that the numbers
are uniformly distributed on the interval 0,1 can be rejected.

0.43 0.09 0.52 0.98 0.78 0.44 0.21 0.12 0.64 0.76
0.38 0.67 0.97 0.46 0.07 0.18 0.49 0.47 0.22 0.47
0.69 0.99 0.77 0.76 0.65 0.14 0.25 0.37 0.99 0.20
0.74 0.03 0.71 0.28 0.65 0.50 0.54 0.13 0.87 0.50
0.97 0.17 0.32 0.91 0.28 0.39 0.56 0.73 0.93 0.24
0.99 0.71 0.99 0.64 0.50 0.66 0.01 0.24 0.81 0.94
0.73 0.15 0.45 0.10 0.18 0.82 0.96 0.43 0.57 0.94
0.27 0.34 0.65 0.79 0.03 0.49 0.69 0.85 0.37 0.50
0.60 0.93 0.48 0.42 0.04 0.46 0.04 0.91 0.97 0.26
0.81 0.62 0.79 0.88 0.46 0.74 0.06 0.11 0.92 0.87

(𝑶𝒊 − 𝑬𝒊 )𝟐
𝑵° 𝑰𝒏𝒕𝒆𝒓𝒗𝒂𝒍 𝑶𝒊 𝑬𝒊 (𝑶𝒊 − 𝑬𝒊 ) (𝑶𝒊 − 𝑬𝒊 )𝟐
𝑬𝒊
1 [0.0 - 0.1) 8 10 -2 4 0.4
2 [0.1 - 0.2) 9 10 -1 1 0.1
3 [0.2 - 0.3) 10 10 0 0 0
4 [0.3 - 0.4) 6 10 -4 16 1.6
5 [0.4 - 0.5) 13 10 3 9 0.9
6 [0.5 - 0.6) 8 10 -2 4 0.4
7 [0.6 - 0.7) 11 10 1 1 0.1
8 [0.7 - 0.8) 12 10 2 4 0.4
9 [0.8 - 0.9) 7 10 -3 9 0.9
10 [0.9 – 1.0) 16 10 6 36 3.6
100 8.4

𝜒 2 = 8.4
2
𝜒0.05,99 = 16.92
2
𝜒 2 < 𝜒0.05,99 𝑇ℎ𝑒 𝐻0 𝑖𝑠 𝑛𝑜𝑡 𝑟𝑒𝑗𝑒𝑐𝑡𝑒𝑑, 𝑠𝑜 𝑡ℎ𝑒 𝑛𝑢𝑚𝑏𝑒𝑟𝑠 𝑎𝑟𝑒 𝑢𝑛𝑖𝑓𝑜𝑟𝑚𝑙𝑦 𝑑𝑖𝑠𝑡𝑟𝑖𝑏𝑢𝑡𝑒𝑑

5. Test the following sequence of numbers 2º, 9ª, 16ª,... for independence, use
 = 0.05 .

0.30 0.48 0.36 0.01 0.54 0.34 0.96 0.06 0.61 0.85
0.48 0.86 0.14 0.83 0.89 0.37 0.49 0.60 0.04 0.83
0.42 0.83 0.37 0.21 0.90 0.89 0.91 0.79 0.57 0.99
0.95 0.27 0.41 0.81 0.96 0.31 0.09 0.06 0.23 0.77
0.73 0.47 0.13 0.55 0.11 0.75 0.36 0.25 0.23 0.72
0.60 0.83 0.70 0.30 0.26 0.38 0.05 0.19 0.73 0.44

𝑖=2 𝑚=7 𝑁 = 60
𝑖 + (𝑀 + 1)𝑚 ≤ 𝑁
2 + (𝑀 + 1)7 ≤ 60
2 + (7 + 1)7 ≤ 60
58 ≤ 60
𝑀=7
John Mora Carrillo

7
1
𝜌̂25 = [∑ 0.48 ∗ 0.61 + 0.61 ∗ 0.37 + 0.37 ∗ 0.37 + 0.37 ∗ 0.99 + 0.99 ∗ 0.09 + 0.09
7+1
𝑘=0

∗ 0.55 + 0.55 ∗ 0.60 + 0.60 ∗ 0.19] − 0.25

1
𝜌̂25 = [1.6043] − 0.25
8
1
𝜌̂25 = [1.6043] − 0.25
8

𝜌̂25 = −0.049

√13𝑀 + 7
𝜎̂𝜌̂25 =
12(𝑀 + 1)

√13(7) + 7 9.899
𝜎̂𝜌̂25 = = = 0.103
12(7 + 1) 96

𝜌̂25 −0.049
𝑍= = = −0.476
𝜎̂𝜌̂25 0.103

𝑍0.025 = −1.96
𝑍 < 𝑍0.025 𝑇ℎ𝑒𝐻0 𝑖𝑠 𝑛𝑜𝑡 𝑟𝑒𝑗𝑒𝑐𝑡𝑒𝑑, 𝑠𝑜 𝑡ℎ𝑒 𝑑𝑎𝑡𝑎 𝑎𝑟𝑒 𝑖𝑛𝑑𝑒𝑝𝑒𝑛𝑑𝑖𝑒𝑛𝑡 𝑎𝑛𝑑 ℎ𝑎𝑣𝑒 𝑛𝑜 𝑐𝑜𝑟𝑟𝑒𝑙𝑎𝑡𝑖𝑜𝑛.

6. Develop a generator for a triangular distribution with range (1, 10) and mode
at x=4. Generate 10 values of the random variable.

0, 𝑥≤1
(𝑥 − 1) 2
, 1<𝑥≤4
𝐹(𝑥) = 27
(10 − 𝑥)2
1− , 4 < 𝑥 < 10
54
{1 , 𝑥 ≥ 10

0 ,𝑟 ≤ 0
1
√27𝑟 + 1 ,0 < 𝑥 ≤
𝐹 −1 (𝑥) = 3
1
10 − √54(1 − 𝑟) , < 𝑥 < 1
3
{1 ,𝑥 ≥ 1

1 1
𝑟𝑖 √27𝑟 + 1 ,0 < 𝑥 ≤ 10 − √54(1 − 𝑥) , < 𝑥 < 1
3 3
0.435 4.476

0.549 5.065
John Mora Carrillo

0.955 8.441

0.799 6.705

0.002 1.734

0.530 4.962

0.426 4.432

0.611 5.416

0.492 4.762

0.291 3.80

7. Given the following cdf for a continuous variable with range from – 3 to 4,
develop a generator for the variable, generate 30 values, and plot a histogram.

0, 𝑥 ≤ −3
1 𝑥
+ , −3<𝑥 ≤0
2 6
𝐹(𝑥) =
1 𝑥2
+ , 0<𝑥≤4
2 32
{1, 𝑥>4

0, 𝑟≤0
1
6𝑟 − 3, 0<𝑟≤
𝐹 −1 (𝑥) = 2
1
√32𝑟 − 16, <𝑟≤1
2
{1, 𝑟>1

1 1
𝑟𝑖 6𝑟 − 3, 0<𝑟≤ √32𝑟 − 16, <𝑟≤1
2 2
0.187 -1.876
0.835 3.272
0.925 3.689
0.643 2.139
0.548 1.234
0.090 -2.460
0.828 3.241
0.053 -2.684
0.421 -0.472
0.956 3.820
0.918 3.656
0.658 2.250
0.239 -1.568
0.315 -1.111
John Mora Carrillo

0.052 -2.688
0.481 -0.112
0.482 -0.109
0.287 -1.278
0.509 0.541
0.691 2.472
0.249 -1.507
0.203 -1.784
0.966 3.861
0.914 3.640
0.796 3.079
0.073 -2.563
0.802 3.110
0.061 -2.635
0.025 -2.851
0.969 3.872

8. Given the cdf F(x) = x4/16 on 0<=x<=2, develop a generator for this
distribution. Generate 10 values of the random variable.
𝑥4
𝐹(𝑥) = ; 0≤𝑟≤2
16
4
𝐹 −1 (𝑥) = 2 √𝑟 ; 0≤𝑟≤1
4
𝑟𝑖 2 √𝑟 ; 0 ≤ 𝑟 ≤ 1
0.296 1.474
0.930 1.964
0.602 1.761
0.835 1.911
0.418 1.608
John Mora Carrillo

0.083 1.072
0.112 1.155
0.393 1.583
0.804 1.893
0.266 1.435

9. Data have been collected on service times at a drive-in bank window at the
Shady Lane National Bank. These data are summarized into intervals as
follows:

Interval (seconds) Frequency

15-30 10
30-45 20
45-60 25
60-90 35
90-120 30
120-180 20
180-300 10

Consider data as empirical continuous distribution and generate five values of

service time, using four-digit random numbers

Interval Frequency Relative Cumulative ai

(seconds) Frequency Frequency
15-30 10 0.07 0.07 214.28
30-45 20 0.13 0.20 115.38
45-60 25 0.17 0.37 88.23
60-90 35 0.23 0.60 130.43
90-120 30 0.20 0.80 150.00
120-180 20 0.13 0.93 461.54
180-300 10 0.07 1.00 1714.28
TOTAL 150 1.000

Consider:
𝑟1 = 0.75, 𝑟1 is contained in the interval (90,120). 𝑖 = 5
𝑋1 = 90 + 150(0.75 − 0.60)
𝑋1 = 112.50 𝑠

𝑟2 = 0.83, 𝑟2 is contained in the interval (120,180). 𝑖 = 6

𝑋2 = 120 + 461.54(0.83 − 0.80)
𝑋2 = 133.84 𝑠

𝑟3 = 0.48, 𝑟3 is contained in the interval (60,90). 𝑖 = 4

𝑋3 = 60 + 130.43(0.48 − 0.34)
𝑋3 = 78.26 𝑠

𝑟4 = 0.93, 𝑟4 is contained in the interval (120,180). 𝑖 = 6

𝑋4 = 120 + 461.54(0.93 − 0.80)
𝑋4 = 180 𝑠

𝑟5 = 0.43, 𝑟5 is contained in the interval (90,120). 𝑖 = 5

John Mora Carrillo

𝑋5 = 60 + 130.43(0.43 − 0.37)
𝑋5 = 67.82 𝑠

10. Lead times have been found to be exponentially distributed with mean 3.7 days.
Generate five random lead times from this distribution.

0, 𝑥 ≤ 0
𝐹(𝑥) = { −𝜆𝑥
1 − 𝑒 ,𝑥 > 0

0, 𝑥≤0
−1 (𝑥) 1
𝐹 ={
− ln (1 − 𝑟), 𝑥>0
𝜆
𝑟𝑖 𝑋𝑖
0.75 0.37
0.83 0.48
0.48 0.41
0.93 0.72
0.43 0.15