Optimal algorithms for universal random number generation from finite memory sources

Abstract: We study random number generators (RNGs), both in the fixed to variable-length (FVR) and the variable to fixed-length (VFR) regimes, in a universal setting in which the input is a finite memory source of arbitrary order and unknown parameters, with arbitrary input and output (finite) alphabet sizes. Applying the method of types, we characterize essentially unique optimal universal RNGs that maximize the expected output (respectively, minimize the expected input) length in the FVR (respectively, VFR) case. For the FVR case, the RNG studied is a generalization of Elias's scheme, while in the VFR case the general scheme is new. We precisely characterize, up to an additive constant, the corresponding expected lengths, which include second-order terms similar to those encountered in universal data compression and universal simulation. Furthermore, in the FVR case, we consider also a "twice-universal" setting, in which the Markov order k of the input source is also unknown.