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A portable uniform random number generator well suited for the rejection method

Hörmann, Wolfgang and Derflinger, Gerhard (1992) A portable uniform random number generator well suited for the rejection method. Preprint Series / Department of Applied Statistics and Data Processing, 3. Institut für Statistik und Mathematik, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, Vienna.

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Abstract

Up to now all known efficient portable implementations of linear congruential random number generators with modulus 2^(31)-1 are working only with multipliers which are small compared with the modulus. We show that for non-uniform distributions, the rejection method may generate random numbers of bad quality if combined with a linear congruential generator with small multiplier. Therefore a method is described that works for any multiplier smaller than 2^(30). It uses the decomposition of multiplier and seed in high order and low order bits to compute the upper and the lower half of the product. The sum of the two halfs gives the product of multiplier and seed modulo 2^(31)-1. Coded in ANSI-C and FORTRAN77 the method results in a portable implementation of the linear congruential generator that is as fast or faster than other portable methods. (author's abstract)

Item Type: Paper
Additional Information: In: ACM Transactions on Mathematical Software 19(4), pp. 489-495, 1993
Keywords: uniform random number generator / linear congruential generator / portability / rejection method / quality of non-uniform random numbers
Classification Codes: MSC 65C10, CR G.3
Divisions: Departments > Finance, Accounting and Statistics > Statistics and Mathematics
Depositing User: Repository Administrator
Date Deposited: 03 May 2004 21:54
Last Modified: 09 Jun 2011 11:19
URI: http://epub.wu.ac.at/id/eprint/1288

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