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).
Abstract
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.
Postscript
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.
Comments
For a related but more general survey,
see [185].
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