Portability Considerations for Random Number Generators

James E. Gentle
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James E. Gentle: IMSL, Inc.

A chapter in Computer Science and Statistics: Proceedings of the 13th Symposium on the Interface, 1981, pp 158-164 from Springer

Abstract: Abstract With increasing use being made of computer-generated random samples, questions concerning the quality of the random number generators become increasingly important. Various studies have been made of the quality of basic generators and some generators have been identified as fairly reliable. As with any computer software, however, it is necessary to know more than that the method or “program” is good. It is also necessary to know that the program will perform well in each computer-compiler environment in which it is to be executed. Portability of a program within a class of environments means that the program will run correctly in each environment. A portable program for random number generation that has been found to produce high quality results in one computer-compiler environment will be just as reliable in other environments, and hence portability allows for efficiency in testing of random number generators. Another desirable aspect of portability is that Monte Carlo studies performed with portable random number generators are reproducible elsewhere, and results of studies by one researcher are more easily extensible by another researcher. Various computer-compiler characteristics relevant to the question of portability of U(0,1) pseudorandom generators and the necessary programming considerations are discussed.

Keywords: Statistical computing; Pseudorandom numbers; Portability; Monte Carlo (search for similar items in EconPapers)
Date: 1981
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DOI: 10.1007/978-1-4613-9464-8_23

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