A Search for Good Pseudo-random Number Generators : Survey and Empirical Studies

In today's world, several applications demand numbers which appear random but are generated by a background algorithm; that is, pseudo-random numbers. Since late $19^{th}$ century, researchers have been working on pseudo-random number generators (PRNGs). Several PRNGs continue to develop, each one demanding to be better than the previous ones. In this scenario, this paper targets to verify the claim of so-called good generators and rank the existing generators based on strong empirical tests in same platforms. To do this, the genre of PRNGs developed so far has been explored and classified into three groups -- linear congruential generator based, linear feedback shift register based and cellular automata based. From each group, well-known generators have been chosen for empirical testing. Two types of empirical testing has been done on each PRNG -- blind statistical tests with Diehard battery of tests, TestU01 library and NIST statistical test-suite and graphical tests (lattice test and space-time diagram test). Finally, the selected $29$ PRNGs are divided into $24$ groups and are ranked according to their overall performance in all empirical tests

Generalized Feedback Shift Register Pseudorandom Number Algorithm

The generalized feedback shift register pseudorandom number algorithm has several advantages over all other pseudorandom number generators. These advantages are: (1) it produces multidimensional pseudorandom numbers; (2) it has an arbitrarily long period independent of the word size of the computer on which it is implemented; (3) it is faster than other pseudorandom number generators; (4) the same floating-point pseudorandom number sequence is obtained on any machine, that is, the high order mantissa bits of each pseudorandom number agree on all machines— examples are given for IBM 360, Sperry-Rand-Univac 1108, Control Data 6000, and Hewlett-Packard 2100 series computers; (5) it can be coded in compiler languages (it is portable); (6) the algorithm is easily implemented in microcode and has been programmed for an Interdata computer. © 1973, ACM. All rights reserved

A Parallel Monte Carlo Code for Simulating Collisional N-body Systems

We present a new parallel code for computing the dynamical evolution of collisional N-body systems with up to N~10^7 particles. Our code is based on the the Henon Monte Carlo method for solving the Fokker-Planck equation, and makes assumptions of spherical symmetry and dynamical equilibrium. The principal algorithmic developments involve optimizing data structures, and the introduction of a parallel random number generation scheme, as well as a parallel sorting algorithm, required to find nearest neighbors for interactions and to compute the gravitational potential. The new algorithms we introduce along with our choice of decomposition scheme minimize communication costs and ensure optimal distribution of data and workload among the processing units. The implementation uses the Message Passing Interface (MPI) library for communication, which makes it portable to many different supercomputing architectures. We validate the code by calculating the evolution of clusters with initial Plummer distribution functions up to core collapse with the number of stars, N, spanning three orders of magnitude, from 10^5 to 10^7. We find that our results are in good agreement with self-similar core-collapse solutions, and the core collapse times generally agree with expectations from the literature. Also, we observe good total energy conservation, within less than 0.04% throughout all simulations. We analyze the performance of the code, and demonstrate near-linear scaling of the runtime with the number of processors up to 64 processors for N=10^5, 128 for N=10^6 and 256 for N=10^7. The runtime reaches a saturation with the addition of more processors beyond these limits which is a characteristic of the parallel sorting algorithm. The resulting maximum speedups we achieve are approximately 60x, 100x, and 220x, respectively.Comment: 53 pages, 13 figures, accepted for publication in ApJ Supplement

Langevin Quasi-Monte Carlo

Langevin Monte Carlo (LMC) and its stochastic gradient versions are powerful algorithms for sampling from complex high-dimensional distributions. To sample from a distribution with density $\pi(\theta)\propto \exp(-U(\theta))$, LMC iteratively generates the next sample by taking a step in the gradient direction $\nabla U$ with added Gaussian perturbations. Expectations w.r.t. the target distribution $\pi$ are estimated by averaging over LMC samples. In ordinary Monte Carlo, it is well known that the estimation error can be substantially reduced by replacing independent random samples by quasi-random samples like low-discrepancy sequences. In this work, we show that the estimation error of LMC can also be reduced by using quasi-random samples. Specifically, we propose to use completely uniformly distributed (CUD) sequences with certain low-discrepancy property to generate the Gaussian perturbations. Under smoothness and convexity conditions, we prove that LMC with a low-discrepancy CUD sequence achieves smaller error than standard LMC. The theoretical analysis is supported by compelling numerical experiments, which demonstrate the effectiveness of our approach

Improved long-period generators based on linear recurrences modulo 2

Fast uniform random number generators with extremely long periods have been defined and implemented based on linear recurrences modulo 2. The twisted GFSR and the Mersenne twister are famous recent examples. Besides the period length, the statistical quality of these generators is usually assessed via their equidistribution properties. The huge-period generators proposed so far are not quite optimal in this respect. In this article, we propose new generators of that form with better equidistribution and "bit-mixing" properties for equivalent period length and speed. The state of our new generators evolves in a more chaotic way than for the Mersenne twister. We illustrate how this can reduce the impact of persistent dependencies among successive output values, which can be observed in certain parts of the period of gigantic generators such as the Mersenne twister