NHSE ReviewTM 1996 Volume Second Issue

Random Number Generators for Parallel Computers

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Combined Generators 

Combining two different generators has been shown (both theoretically and empirically) to produce an improved quality generator in many circumstances [2, 32, 6, 42].

Based on an algorithm introduced by Wichmann and Hill [43], L'Ecuyer [32] has shown how to additively combine two different 32-bit LCGs to produce a generator that passes all known statistical tests and has a long period of around 10^18 , thus overcoming the major drawbacks of standard 32-bit LCGs. This has been implemented in a program known as RANECU [32, 5]. Combining two LCGs in this way is effectively a more efficient way of implementing an LCG with a much larger modulus [44]. Recently L'Ecuyer et al. [41] have implemented combined 48-bit and 64-bit LCGs and MRGs, with even larger periods and better randomness properties. A combined 32-bit LCG is substantially slower than a standard 32-bit LCG, although it is more appropriate to compare it to a 64-bit LCG (which has the same period), in which case the performance is similar, at least on a 32-bit machine where multiple-precision arithmetic is required for the 64-bit LCG.

Other proposed combined generators include algorithms combining an LFG with an LCG [2], or an LFG with a simple Weyl (or arithmetic sequence) generator, which is the basis for the RANMAR generator [5, 45] commonly used in computational physics applications. The addition of the Weyl generator greatly improves the randomness properties over the single additive LFG, but RANMAR still fails some Monte Carlo tests [15], since the lag used (p=97) is much too small. If you are using this generator, you should greatly increase the lags, to at least (1279,1063).

Copyright © 1996


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Paul Coddington, paulc@npac.syr.edu