A fast vectorised implementation of Wallace's
normal random number generator
170. R. P. Brent,
A fast vectorised implementation of Wallace's
normal random number generator,
Technical Report TR-CS-97-07, Computer Sciences Laboratory,
ANU, April 1997, 9 pp.
arXiv:1004.3114v1
Abstract:
dvi (3K),
pdf (71K),
ps (29K).
Report:
dvi (19K),
pdf (160K),
ps (118K).
Abstract
Wallace has proposed a new class of pseudo-random generators
for normal variates. These generators do not require a stream of uniform
pseudo-random numbers, except for initialisation. The inner loops are
essentially matrix-vector multiplications and are very suitable for
implementation on vector processors or vector/parallel processors
such as the Fujitsu VPP300.
In this report we outline Wallace's idea, consider some variations on it,
and describe a vectorised implementation RANN4
which is more than three times faster than its best competitors
(the Polar and Box-Muller methods)
on the Fujitsu VP2200 and VPP300.
Comments
Wallace's idea appeared in
ACM Transactions on Mathematical Software 22 (1996), 119-127.
Related papers are
[132,
133,
141,
185,
213].
Fortran 77 implementations of some uniform and normal random number
generators are available here.
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