Understanding “randomness”

language-agnosticmathrandom

I can't get my head around this, which is more random?

rand()

OR:

rand() * rand()

I´m finding it a real brain teaser, could you help me out?

EDIT:

Intuitively I know that the mathematical answer will be that they are equally random, but I can't help but think that if you "run the random number algorithm" twice when you multiply the two together you'll create something more random than just doing it once.

Best Answer

Just a clarification

Although the previous answers are right whenever you try to spot the randomness of a pseudo-random variable or its multiplication, you should be aware that while Random() is usually uniformly distributed, Random() * Random() is not.

Example

This is a uniform random distribution sample simulated through a pseudo-random variable:

Histogram of Random() 

        BarChart[BinCounts[RandomReal[{0, 1}, 50000], 0.01]]

While this is the distribution you get after multiplying two random variables:

Histogram of Random() * Random() 

        BarChart[BinCounts[Table[RandomReal[{0, 1}, 50000] * 
                                 RandomReal[{0, 1}, 50000], {50000}], 0.01]]

So, both are “random”, but their distribution is very different.

Another example

While 2 * Random() is uniformly distributed:

Histogram of 2 * Random()

        BarChart[BinCounts[2 * RandomReal[{0, 1}, 50000], 0.01]]

Random() + Random() is not!

Histogram of Random() + Random()

        BarChart[BinCounts[Table[RandomReal[{0, 1}, 50000] + 
                                 RandomReal[{0, 1}, 50000], {50000}], 0.01]]

The Central Limit Theorem

The Central Limit Theorem states that the sum of Random() tends to a normal distribution as terms increase.

With just four terms you get:

Histogram of Random() + Random() + Random() + Random()

BarChart[BinCounts[Table[RandomReal[{0, 1}, 50000] + RandomReal[{0, 1}, 50000] +
                   Table[RandomReal[{0, 1}, 50000] + RandomReal[{0, 1}, 50000],
                   {50000}],
         0.01]]

And here you can see the road from a uniform to a normal distribution by adding up 1, 2, 4, 6, 10 and 20 uniformly distributed random variables:

Histogram of different numbers of random variables added

Edit

A few credits

Thanks to Thomas Ahle for pointing out in the comments that the probability distributions shown in the last two images are known as the Irwin-Hall distribution

Thanks to Heike for her wonderful torn[] function

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