A UNIFIED VIEW OF LONG-PERIOD RANDOM NUMBER GENERATORS

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概要

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• Two types of linear congruential random number generator are considered: the conventional one using integer arithmetic and another using polynomial arithmetic over finite fields. We show that most of the long-period random number generators currently used or recently proposed, which include multiple recursive generators, shift register generators, add-with-carry and subtract-with-borrow generators, Twisted-GFSR generators, Wichmann-Hill generators, and combined Tausworthe generators, can be viewed as producing truncated linear congruential sequences with large moduli in terms of integer or polynomial arithmetic. On this basis, we compare the above generators with respect, to generation efficiency, lattice structure, and portability.

• 社団法人日本オペレーションズ・リサーチ学会の論文
• 1994-09-00

著者

• Tezuka Shu

  Ibm Research Tokyo Research Laboratory

関連論文

• ANALYSIS OF THE ANOMALY OF ran1() GENERATOR IN MONTE CARLO PRICING OF FINANCIAL DERIVATIVES
• ON THE LATTICE STRUCTURE OF THE ADD-WITH-CARRY AND SUBTRACT-WITH-BORROW RANDOM NUMBER GENERATORS(Workshop on Stochastic Numerics)
• A UNIFIED VIEW OF LONG-PERIOD RANDOM NUMBER GENERATORS

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