Theoretical and empirical convergence results for additive congruential random number generators

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:233

Article

Wikramaratna, Roy S.

关键词: Pseudo-random number generator;    Algorithm;    Implementation;    Theoretical analysis;    Well-distributed sequences;    Empirical test;   

DOI  :  10.1016/j.cam.2009.10.015

来源: Elsevier

【 摘 要 】

Additive Congruential Random Number (ACORN) generators represent an approach to generating uniformly distributed pseudo-random numbers that is straightforward to implement efficiently for arbitrarily large order and modulus; if it is implemented using integer arithmetic, it becomes possible to generate identical sequences on any machine. This paper briefly reviews existing results concerning ACORN generators and relevant theory concerning sequences that are well distributed mod 1 in k dimensions. It then demonstrates some new theoretical results for ACORN generators implemented in integer arithmetic with modulus M = 2(mu) showing that they are a family of generators that converge (in a sense that is defined in the paper) to being well distributed mod 1 in k dimensions, as mu = log(2) M tends to infinity. By increasing k, it is possible to increase without limit the number of dimensions in which the resulting sequences approximate to well distributed. The paper concludes by applying the standard TestU01 test suite to ACORN generators 60 for selected values of the modulus (between 2(60) and 2(150)), the order (between 4 and 30) and various odd seed values. On the basis of these and earlier results, it is recommended that an order of at least 9 be used together with an odd seed and modulus equal to 2(30p), for a small integer value of p. While a choice of p = 2 should be adequate for most typical applications, increasing p to 3 or 4 gives a sequence that will consistently pass all the tests in the TestU01 test Suite, giving additional confidence in more demanding applications. The results demonstrate that the ACORN generators are a reliable source of uniformly distributed pseudo-random numbers, and that in practice (as suggested by the theoretical convergence results) the quality of the ACORN sequences increases with increasing modulus and order. (C) 2009 Elsevier B.V. All rights reserved.

【 授权许可】

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