Fast normal random number generators on vector processors

Details Fast normal random number generators on vector processors Fast normal random number generators on vector processors

2010-04-19

arxiv.org/abs/1004.3105v2

Computer Science

Data Structures and Algorithms

An old Technical Report, not published elsewhere. 6 pages. For details see http://wwwmaths.anu.edu.au/~brent/pub/pub141.html

Scientific paper

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, and show why they are unlikely to be competitive with the Polar method on vector processors.

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