Creating a random number generator from a coin toss

Solution 1:

You can build a rng for the smallest power of two greater than n as you described. Then whenever this algorithm generates a number larger than n-1, throw that number away and try again. This is called the method of rejection.

Addition

The algorithm is

Let m = 2^k >= n where k is is as small as possible.
do
   Let r = random number in 0 .. m-1 generated by k coin flips
while r >= n
return r

The probability that this loop stops with at most i iterations is bounded by 1 - (1/2)^i. This goes to 1 very rapidly: The loop is still running after 30 iterations with probability less than one-billionth.

You can decrease the expected number of iterations with a slightly modified algorithm:

Choose p >= 1
Let m = 2^k >= p n where k is is as small as possible.
do
   Let r = random number in 0 .. m-1 generated by k coin flips
while r >= p n
return floor(r / p)

For example if we are trying to generate 0 .. 4 (n = 5) with the simpler algorithm, we would reject 5, 6 and 7, which is 3/8 of the results. With p = 3 (for example), pn = 15, we'd have m = 16 and would reject only 15, or 1/16 of the results. The price is needing four coin flips rather than 3 and a division op. You can continue to increase p and add coin flips to decrease rejections as far as you wish.

Solution 2:

Another interesting solution can be derived through a Markov Chain Monte Carlo technique, the Metropolis-Hastings algorithm. This would be significantly more efficient if a large number of samples were required but it would only approach the uniform distribution in the limit.

 initialize: x[0] arbitrarily    
 for i=1,2,...,N
  if (f() == 1) x[i] = (x[i-1]++) % n
  else x[i] = (x[i-1]-- + n) % n

For large N the vector x will contain uniformly distributed numbers between 0 and n. Additionally, by adding in an accept/reject step we can simulate from an arbitrary distribution, but you would need to simulate uniform random numbers on [0,1] as a sub-procedure.