Summary
Mersenne Twister (MT) is a widely-used fast pseudorandom number generator (PRNG) with a long period of 219937 - 1, designed 10 years ago based on 32-bit operations. In this decade, CPUs for personal computers have acquired new features, such as Single Instruction Multiple Data (SIMD) operations (i.e., 128-bit operations) and multi-stage pipelines. Here we propose a 128-bit based PRNG, named SIMD-oriented Fast Mersenne Twister (SFMT), which is analogous to MT but making full use of these features. Its recursion fits pipeline processing better than MT, and it is roughly twice as fast as optimised MT using SIMD operations. Moreover, the dimension of equidistribution of SFMT is better than MT.
We also introduce a block-generation function, which fills an array of 32-bit integers in one call. It speeds up the generation by a factor of two. A speed comparison with other modern generators, such as multiplicative recursive generators, shows an advantage of SFMT. The implemented C-codes are downloadable from http ://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/SFMT/index.html.
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Saito, M., Matsumoto, M. (2008). SIMD-Oriented Fast Mersenne Twister: a 128-bit Pseudorandom Number Generator. In: Keller, A., Heinrich, S., Niederreiter, H. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2006. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-74496-2_36
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DOI: https://doi.org/10.1007/978-3-540-74496-2_36
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