Wallace's random number generators

213. R. P. Brent, Some comments on C. S. Wallace's random number generators, Computer Journal 51, 5
(C. S. Wallace memorial special issue, Sept. 2008), 579-584. arXiv:1005.2314v1

Preprint: dvi (18K), pdf (76K), ps (29K).

Paper: pdf (84K).


We outline some of Chris Wallace's contributions to pseudo-random number generation. In particular, we consider his recent idea for generating normally distributed variates without relying on a source of uniform random numbers, and compare it with more conventional methods for generating normal random numbers. Implementations of Wallace's idea can be very fast (approximately as fast as good uniform generators). We discuss the statistical quality of the output, and mention how certain pitfalls can be avoided.


This paper was dedicated to Professor Christopher S. Wallace on the occasion of his 70th birthday. Unfortunately, Professor Wallace died on 7 August 2004, before the publication of the paper. Thus, the dedication should be changed to:
In memory of Chris Wallace 1933-2004.


For a related but more general survey, see [185].

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