Algorithm for exponential random numbers Original Research Article

We study a simple algorithm for generating exponentially distributed pseudo random numbers. It only takes a few simple lines of computer code. It is nearly as fast as algorithms that generate uniformly distributed random numbers. The algorithm simulates N systems that exchange energy among themselves following a simple stochastic rule. We prove that a Gibbs like distribution that may be used as a source of exponentially distributed random deviates follows in the N→∞ limit. The algorithm passes various performance tests, including Monte Carlo simulation of a finite 2D Ising model using Wolffʹs algorithm.