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The 64-bit universal RNG

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  • Marsaglia, George
  • Tsang, Wai Wan

Abstract

We describe a random number generator that produces uniform [0,1) variates directly, as 64-bit floating point numbers, without the customary floating of integers. Using only subtraction and tests on magnitude, the method is readily implemented and should, given the same seed values, produce exactly the same random numbers with most programming languages. The resulting numbers have a very long period ([approximate]2202 or 1061) and apparently excellent randomness--supported by extensive testing.

Suggested Citation

  • Marsaglia, George & Tsang, Wai Wan, 2004. "The 64-bit universal RNG," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 183-187, January.
    • Handle: RePEc:eee:stapro:v:66:y:2004:i:2:p:183-187
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    References listed on IDEAS

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    1. Marsaglia, George & Zaman, Arif & Wan Tsang, Wai, 1990. "Toward a universal random number generator," Statistics & Probability Letters, Elsevier, vol. 9(1), pages 35-39, January.
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    Cited by:

    1. Vladimir K. Kaishev & Dimitrina S. Dimitrova, 2009. "Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options," Management Science, INFORMS, vol. 55(3), pages 483-496, March.
    2. Tang, Hui-Chin, 2006. "Theoretical analyses of forward and backward heuristics of multiple recursive random number generators," European Journal of Operational Research, Elsevier, vol. 174(3), pages 1760-1768, November.

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