[Top][All Lists]

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
## Re: [Help-gsl] Random Number Generator

**From**: |
John Lamb |

**Subject**: |
Re: [Help-gsl] Random Number Generator |

**Date**: |
Thu, 16 Sep 2004 22:00:28 +0100 |

**User-agent**: |
Mozilla/5.0 (X11; U; Linux i686; en-US; rv:1.6) Gecko/20040114 |

Dr Jekyll wrote:

Can someone explain to me the following three "gsl_rng_type" pointers, where
does they come from? I only know some generators such as LeCuyer... but
never heards generators whose name contains "19937" or something like that!
gsl_rng_mt19937
gsl_rng_mt19937_1999
gsl_rng_mt19937_1998

`See below for details: the 1998 and 1999 versions are older
``implementations that are not as good but preserved, presumably for the
``sake of consistency.
`

`Mersenne twister: a 623-dimensionally equidistributed uniform
``pseudo-random number generator
`ACM Transactions on Modeling and Computer Simulation
Volume 8 , Issue 1 (January 1998)
Pages: 3 - 30
ISSN:1049-3301
Authors

`Makoto Matsumoto Keio Univ., Yakohama; and the Max-Planch-Institut Für
``Mathematik, Japan
`Takuji Nishimura Keio Univ., Yokohama, Japan

` A new algorithm called Mersenne Twister (MT) is proposed for
``generating uniform pseudorandom numbers. For a particular choice of
``parameters, the algorithm provides a super astronomical period of 219937
``-1 and 623-dimensional equidistribution up to 32-bit accuracy, while
``using a working area of only 624 words. This is a new variant of the
``previously proposed generators, TGFSR, modified so as to admit a
``Mersenne-prime period. The characteristic polynomial has many terms. The
``distribution up to v bits accuracy for 1 ? v ? 32 is also shown to be
``good. An algorithm is also given that checks the primitivity of the
``characteristic polynomial of MT with computational complexity O(p2)
``where p is the degree of the polynomial.We implemented this generator in
``portable C-code. It passed several stringent statistical tests,
``including diehard. Its speed is comparable to other modern generators.
``Its merits are due to the efficient algorithms that are unique to
``polynomial calculations over the two-element field.
`
--
JDL