Re: [Gretl-users] random number generation

On Wed, 16 Nov 2016, Sven Schreiber wrote: I've now looked into this in detail. The speed with which a program generates normal variates depends on two factors: the speed of the underlying uniform generator and the speed of conversion to normal. In Jack's tests of gretl against Octave -- which set us off on revising the gretl RNG -- it transpired that gretl's uniform generator (SFMT) was faster than Octave's but our Ziggurat conversion was slower, making us somewhat slower overall for normals. Now that we've switched to Bateman's Ziggurat implementation we're a bit faster overall. Now for RcppZiggurat: I've experimented with two of Dirk's functions, zrnorm() and zrnormR(). The first of these is overall very fast, due to the fact that the uniform generator he's using, SHR3, is very fast. However, it has a rather short period by today's standards, 2^32-1 as against 2^19937-1 for the MT variant used by gretl. The second function uses the same Ziggurat code but employs R's standard MT uniform generator, which makes it a bit slower. Here's what I'm seeing for timings of 200 replications of generating 1 million normals (Nehalem CPU): gretl: 3.978 seconds Octave: 5.185 R, zrnorm: 3.275 R, zrnormR: 4.995 So in this comparison class we have the best time for MT + Ziggurat, though RcppZiggurat is faster with SHR3 + Ziggurat. Allin