Fast normal random number generators on vector processors
Data Structures and Algorithms
2010-04-21 v2 Numerical Analysis
Computation
Abstract
We consider pseudo-random number generators suitable for vector processors. In particular, we describe vectorised implementations of the Box-Muller and Polar methods, and show that they give good performance on the Fujitsu VP2200. We also consider some other popular methods, e.g. the Ratio method of Kinderman and Monahan (1977) (as improved by Leva (1992)), and the method of Von Neumann and Forsythe, and show why they are unlikely to be competitive with the Polar method on vector processors.
Keywords
Cite
@article{arxiv.1004.3105,
title = {Fast normal random number generators on vector processors},
author = {Richard P. Brent},
journal= {arXiv preprint arXiv:1004.3105},
year = {2010}
}
Comments
An old Technical Report, not published elsewhere. 6 pages. For details see http://wwwmaths.anu.edu.au/~brent/pub/pub141.html