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

@article{Brent2008SomeCO,
  title={Some Comments on C. S. Wallace's Random Number Generators},
  author={Richard P. Brent},
  journal={ArXiv},
  year={2008},
  volume={abs/1005.2314}
}
  • R. Brent
  • Published 1 September 2008
  • Computer Science
  • ArXiv
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… 

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