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Some Comments on C. S. Wallace's Random Number Generators

Brent, Richard


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...[Show more]

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: The Computer Journal
DOI: 10.1093/comjnl/bxm122


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