Resolution-stationary random number generators

Francois Panneton and L’Ecuyer, Pierre

Mathematics and Computers in Simulation (MATCOM), 2010, vol. 80, issue 6, 1096-1103

Abstract: Besides speed and period length, the quality of uniform random number generators (RNGs) is usually assessed by measuring the uniformity of their point sets, formed by taking vectors of successive output values over their entire period length. For F2-linear generators, the commonly adopted measures of uniformity are based on the equidistribution of the most significant bits of the output. In this paper, we point out weaknesses of these measures and introduce generalizations that also give importance to the low-order (less significant) bits. These measures look at the equidistribution obtained when we permute the bits of each output value in a certain way. In a parameter search for good generators, a quality criterion based on these new measures of equidistribution helps to avoid generators that fail statistical tests targeting their low-order bits. We also introduce the notion of resolution-stationary generators, whose point sets are invariant under a multiplication by certain powers of 2, modulo 1. For such generators, least significant bits have the same equidistribution properties as the most significant ones. Tausworthe generators have this property. We finally show how an arbitrary F2-linear generator can be made resolution-stationary by adding an appropriate linear transformation to the output. This provides new efficient ways of implementing high-quality and long-period Tausworthe generators.

Keywords: Random number generation; Linear recurrence modulo 2; Uniformity; Quasi-Monte Carlo; Tausworthe generator (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:80:y:2010:i:6:p:1096-1103

DOI: 10.1016/j.matcom.2007.09.014

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