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The Computer Journal Advance Access published online on February 15, 2008
The Computer Journal, doi:10.1093/comjnl/bxm122
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© The Author 2008. Published by Oxford University Press on behalf of The British Computer Society. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org

Some Comments on C. S. Wallace's Random Number Generators

Richard P. Brent*

Mathematical Sciences Institute, Australian National University, Canberra, ACT 0200, Australia

* Corresponding author: rpb213{at}rpbrent.com

Received 22 March 2003; revised 14 June 2003

revised 17 October 2007

We outline some of Chris Wallace's contributions to pseudo-random number generation. In particular, we consider his recent idea for generating normally distributed variates without relying on a source of uniform random numbers and compare it with more conventional methods for generating normal random numbers. Implementations of Wallace's idea can be very fast (approximately as fast as good uniform generators). We discuss the statistical quality of the output, and mention how certain pitfalls can be avoided.

Key Words: Gaussian distribution • maximum-entropy distributions • normal distribution • orthogonal transformations • random number generation • Wallace algorithm


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