Abstract
Large scale Monte Carlo applications need a good pseudo-random number generator capable of utilizing both the vector processing capabilities and multiprocessing capabilities of modern computers in order to get the maximum performance. The requirements for such a generator are discussed. New ways of avoiding overlapping subsequences by combining two generators are proposed. Some fundamental philosophical problems in proving independence of random streams are discussed. Remedies for hitherto ignored quantization errors are offered. An open source C++ implementation is provided for a generator that meets these needs.
DOI
10.22237/jmasm/1430454120
Included in
Applied Statistics Commons, Social and Behavioral Sciences Commons, Statistical Theory Commons
