Marsaglia's ziggurat and MCW1019 generators are available in the R package SuppDists. The gcc compiler was used.
George Marsaglia wrote: > > Glen <[EMAIL PROTECTED]> wrote in message > [EMAIL PROTECTED]">news:[EMAIL PROTECTED]... > > "Alan Miller" <[EMAIL PROTECTED]> wrote in message > news:<K1Fa8.25709$[EMAIL PROTECTED]>... > > > The fastest way to generate random normals and exponentials is to use George > > > Marsaglia's ziggurat algorithm. > > > > I've seen both ziggurat and Monty Python approaches claimed as being > > "about the fastest" or "close to the fastest" among reasonably general > > algorithms (not restricted to a single distribution), and they are > > both nice and easy to understand and reasonably easy to code. > > > > But in the case of gaussian distributions, which is faster? > > > > Glen > ============================================= > (3-year old) Timings, in nanoseconds, using Microsoft Visual C++ > and gcc under DOS on a 400MHz PC. Comparisons are with > methods by Leva and by Ahrens-Dieter, both said to be fast, > using the same the same uniform RNG. > > MS gcc > Leva 307 384 > Ahrens-Dieter 161 193 > RNOR 55 65 (Ziggurat) > REXP 77 40 (Ziggurat) > > The Monty Python method is not quite as fast as as the Ziggurat. > > Some may think that Alan Miller's somewhat vague reference to > a source for the ziggurat article suggests disdain. The source is > Journal of Statistical Software Vol 5, Issue 8, > available on the Web. > > Potential articles for this journal seem as fully refereed and > seriously considered as are those in more conventional > (but glacial) journals, at least based on my experience, > and I have published papers in over forty different > math/stat/CS/IEEE journals, seven medical, two physics and > one law journal as well several general purpose journals. > > George Marsaglia > > (I don't have a web page, so the above can be considered > my way to play Ozymandius.) -- Bob Wheeler --- (Reply to: [EMAIL PROTECTED]) ECHIP, Inc. ================================================================= Instructions for joining and leaving this list, remarks about the problem of INAPPROPRIATE MESSAGES, and archives are available at http://jse.stat.ncsu.edu/ =================================================================
