Applied Parallel Computing. State of the Art in Scientific Computing

Volume 3732 of the series Lecture Notes in Computer Science pp 1-10

Fast and Reliable Random Number Generators for Scientific Computing

  • Richard P. BrentAffiliated withOxford University Computing Laboratory

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Fast and reliable pseudo-random number generators are required for simulation and other applications in Scientific Computing. We outline the requirements for good uniform random number generators, and describe a class of generators having very fast vector/parallel implementations with excellent statistical properties. We also discuss the problem of initialising random number generators, and consider how to combine two or more generators to give a better (though usually slower) generator.