Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators

Pierre L'Ecuyer
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Pierre L'Ecuyer: Université de Montréal, Montréal, Québec, Canada

Operations Research, 1999, vol. 47, issue 1, 159-164

Abstract: Combining parallel multiple recursive sequences provides an efficient way of implementing random number generators with long periods and good structural properties. Such generators are statistically more robust than simple linear congruential generators that fit into a computer word. We made extensive computer searches for good parameter sets, with respect to the spectral test, for combined multiple recursive generators of different sizes. We also compare different implementations and give a specific code in C that is faster than previous implementations of similar generators.

Keywords: simulation; random number generation; multiple recursive; combined generators; lattice structure; spectral test (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (2)

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