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

Brent, Richard P


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...[Show more]

CollectionsANU Research Publications
Date published: 1997
Type: Working/Technical Paper


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