Books on random number generation

Last update: Fri Sep 22 20:49:20 EDT 2017

Luc's library has now opened its web doors to all McGill University students. The library is in fact my office (room 300N, McConnell Engineering Building), and the books are a subset of my private collection. Any McGill student may borrow any book at any time!

Søren Asmussen
Peter Glynn

Stochastic Simulation: Algorithms and Analysis [Google]
Springer, New York, 2007.

L. Barabesi

Random Variate Generation by Using the Ratio-of-Uniforms Method [Google]
Università degli Studi di Siena Dipartimento di Metodi Quantitativi Collana di Pubblicazioni, Siena, 1993.

J.S. Dagpunar

Principles of Random Variate Generation [Google]
Clarendon Press, Oxford, 1988.

L. Devroye

Non-Uniform Random Variate Generation [Google]
Springer-Verlag, New York, 1986.

Hector Zenil (ed.)

Randomness Through Computation: Some Answers, More Questions [Google]
World Scientific, Hackensack, NJ, 2011.

J.E. Gentle

Random Number Generation and Monte Carlo Methods [Google]
Springer-Verlag, New York, 1998.

Todd C. Headrick

Statistical Simulation: Power Method Polynomials and Other Transformations [Google]
Chapman & Hall, 2009.

S.G. Henderson
B.L. Nelson (eds)

Handbooks in Operations Research and Management Science Volume 13 Simulation [Google]
North-Holland, Amsterdam, 2006.

Wolfgang Hörmann
Josef Leydold
Gerhard Derflinger

Automatic Nonuniform Random Variate Generation [Google]
Springer-Verlag, Berlin, 2004.

Harry Joe

Multivariate Models and Multivariate Dependence Concepts [Google]
Chapman and Hall, Boca Raton, FL, 1997.

Harry Joe

Dependence Modeling with Copulas [Google]
CRC Press, Boca Raton, FL, 2015.

Dirk P. Kroese
Thomas Taimre
Zdravko I. Botev

Handbook of Monte Carlo Methods [Google]
John Wiley, Hoboken, NJ, 2011.

L. Kuipers
H. Niederreiter

Uniform Distribution of Sequences [Google]
Dover, Mineola, N.Y., 2006.

Yves Lechevallier
Gilbert Saporta

COMPSTAT 2010 [Google]
Physica-Verlag, Berlin, 2010.

Faming Liang
Chuanhai Liu
Raymond J. Carroll

Advanced Markov Chain Monte Carlo Methods: Learning from Past Samples [Google]
John Wiley, Padstow, UK, 2010.

Jan-Frederik Mai
Matthias Scherer

Simulating Copulas [Google]
Imperial College Press, Singapore, 2012.

H. Niederreiter

Random Number Generation and Quasi-Monte Carlo Methods [Google]
SIAM, Philadelphia, 1992.

H. Niederreiter

Random Number Generation and Quasi-Monte Carlo Methods [Google]
SIAM, Philadelphia, 1992.

S.J. Yakowitz

Computational Probability and Simulation [Google]
Addison-Wesley, Reading, MA, 1977.


Luc Devroye
School of Computer Science
McGill University
Montreal, Canada H3A 2K6