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arXiv · 1004.3114

A fast vectorised implementation of Wallace's normal random number generator

Richard P. Brent
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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.

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Richard P. Brent. 2010-04-19. A fast vectorised implementation of Wallace's normal random number generator. https://arxiv.org/abs/1004.3114

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