ANU Computer Science Technical Reports

TR-CS-97-07

Richard P. Brent.
A fast vectorised implementation of Wallace's normal random number generator.
April 1997.

[POSTSCRIPT (119498 bytes)] [PDF (225575 bytes)] [EPrints archive]

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 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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Last modified: Tue May 31 12:56:00 EST 2011