Abstract
Pseudo-random numbers with long periods and good statistical properties are often required for applications in computational finance. We consider the requirements for good uniform random number generators, and describe a class of generators whose period is a Mersenne prime or a small multiple of a Mersenne prime. These generators are based on “ almost primitive” trinomials, that is trinomials having a large primitive factor. They enable very fast vector/parallel implementations with excellent statistical properties.
Keywords
- Random Number Generator
- Irreducible Factor
- Primitive Polynomial
- Small Multiple
- Good Statistical Property
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
This work was supported in part by the Oxford Centre for Computational Finance, the Oxford Supercomputing Centre, and EPSRC grant GR/N35366.
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Brent, R.P., Zimmermann, P. (2003). Random Number Generators with Period Divisible by a Mersenne Prime. In: Kumar, V., Gavrilova, M.L., Tan, C.J.K., L’Ecuyer, P. (eds) Computational Science and Its Applications — ICCSA 2003. ICCSA 2003. Lecture Notes in Computer Science, vol 2667. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-44839-X_1
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DOI: https://doi.org/10.1007/3-540-44839-X_1
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