Good random number generators are (not so) easy to find

P. Hellekalek

Mathematics and Computers in Simulation (MATCOM), 1998, vol. 46, issue 5, 485-505

Abstract: Every random number generator has its advantages and deficiencies. There are no “safe” generators. The practitioner's problem is how to decide which random number generator will suit his needs best. In this paper, we will discuss criteria for good random number generators: theoretical support, empirical evidence and practical aspects. We will study several recent algorithms that perform better than most generators in actual use. We will compare the different methods and supply numerical results as well as selected pointers and links to important literature and other sources. Additional information on random number generation, including the code of most algorithms discussed in this paper is available from our web-server under the address http://random.mat.sbg.ac.at/

Date: 1998
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Citations: View citations in EconPapers (18)

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