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

Date

2008

Authors

Brent, Richard

Journal Title

Journal ISSN

Volume Title

Publisher

Oxford University Press

Abstract

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 can be avoided.

Description

Keywords

Keywords: Number theory; Random processes; Gaussian distribution; Maximum-entropy distributions; Normal distribution; Orthogonal transformations; Wallace algorithm; Random number generation Gaussian distribution; Maximum-entropy distributions; Normal distribution; Orthogonal transformations; Random number generation; Wallace algorithm

Citation

Source

The Computer Journal

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1093/comjnl/bxm122

Restricted until

2037-12-31