×

A PRNG specialized in double precision floating point numbers using an affine transition. (English) Zbl 1184.65013

L’ Ecuyer, Pierre (ed.) et al., Monte Carlo and quasi-Monte Carlo methods 2008. Proceedings of the 8th international conference Monte Carlo and quasi-Monte Carlo methods in scientific computing, Montréal, Canada, July 6–11, 2008. Berlin: Springer (ISBN 978-3-642-04106-8/hbk). 589-602 (2009).
Summary: We propose a pseudorandom number generator specialized to generate double precision floating point numbers. It generates 52-bit pseudorandom patterns supplemented by a constant most significant 12 bits (sign and exponent), so that the concatenated 64 bits represents a floating point number obeying the IEEE 754 format. To keep the constant part, we adopt an affine transition function instead of the usual \(\mathbb{F}_{2}\) -linear transition, and extend algorithms computing the period and the dimensions of equidistribution to the affine case. The resulted generator generates double precision floating point numbers faster than the Mersenne Twister, whoes output numbers only have 32-bit precision.
For the entire collection see [Zbl 1178.65002].

MSC:

65C10 Random number generation in numerical analysis
11K45 Pseudo-random numbers; Monte Carlo methods
Full Text: DOI