Fast normal random number generators on vector processors
141. R. P. Brent,
Fast normal random number generators on vector processors,
Technical Report TR-CS-93-04, Computer Sciences Laboratory, ANU,
March 1993, 6 pp.
arXiv:1004.3105v2
Abstract:
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Technical Report:
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Abstract
We consider pseudo-random number generators suitable for vector
processors. In particular, we
describe vectorised implementations of the Box-Muller and Polar
methods, and show that they give good performance on the
Fujitsu VP2200. We also consider some other popular methods,
e.g. the Ratio method of Kinderman and Monahan (1977)
(as improved by Leva (1992)),
and the method of
Von Neumann and Forsythe (see [123]),
and show why they are unlikely to be competitive with the
Polar method on vector processors.
Comments
For a significantly faster method, based on an idea of Wallace, see
[170,
185].
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