Some comments on C. S. Wallace's random number generators

Details Some comments on C. S. Wallace's random number generators Some comments on C. S. Wallace's random number generators

2010-05-13

arxiv.org/abs/1005.2314v1

The Computer Journal 51, 5 (Sept. 2008), 579-584.

Computer Science

Mathematical Software

13 pages. For further information, see http://wwwmaths.anu.edu.au/~brent/pub/pub213.html

Scientific paper

We outline some of Chris Wallace's contributions to pseudo-random number generation. In particular, we consider his 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.

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