Some comments on C. S. Wallace's random number generators

Richard P. Brent

doi:10.1093/comjnl/bxm122

Some comments on C. S. Wallace's random number generators

Richard P. Brent^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

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.

Original language	English
Pages (from-to)	579-584
Number of pages	6
Journal	Computer Journal
Volume	51
Issue number	5
DOIs	https://doi.org/10.1093/comjnl/bxm122
Publication status	Published - Sept 2008

Access to Document

10.1093/comjnl/bxm122

Cite this

@article{09cbbeef91f34e83a714197c0ede29b0,

title = "Some comments on C. S. Wallace's random number generators",

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.",

keywords = "Gaussian distribution, Maximum-entropy distributions, Normal distribution, Orthogonal transformations, Random number generation, Wallace algorithm",

author = "Brent, {Richard P.}",

year = "2008",

month = sep,

doi = "10.1093/comjnl/bxm122",

language = "English",

volume = "51",

pages = "579--584",

journal = "Computer Journal",

issn = "0010-4620",

publisher = "Oxford University Press",

number = "5",

}

TY - JOUR

T1 - Some comments on C. S. Wallace's random number generators

AU - Brent, Richard P.

PY - 2008/9

Y1 - 2008/9

N2 - 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.

AB - 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.

KW - Gaussian distribution

KW - Maximum-entropy distributions

KW - Normal distribution

KW - Orthogonal transformations

KW - Random number generation

KW - Wallace algorithm

UR - http://www.scopus.com/inward/record.url?scp=50949117205&partnerID=8YFLogxK

U2 - 10.1093/comjnl/bxm122

DO - 10.1093/comjnl/bxm122

M3 - Article

SN - 0010-4620

VL - 51

SP - 579

EP - 584

JO - Computer Journal

JF - Computer Journal

IS - 5

ER -

Some comments on C. S. Wallace's random number generators

Abstract

Access to Document

Other files and links

Fingerprint

Cite this