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A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition

In: Monte Carlo and Quasi-Monte Carlo Methods 2008

Author

Listed:
  • Mutsuo Saito

    (Hiroshima University, Department of Mathematics, Graduate School of Science)

  • Makoto Matsumoto

Abstract

We propose a pseudorandom number generator specialized to generate double precision floating point numbers. It generates 52-bit pseudorandom patterns supplemented by a constant most significant 12 bits (sign and exponent), so that the concatenated 64 bits represents a floating point number obeying the IEEE 754 format. To keep the constant part, we adopt an affine transition function instead of the usual $\mathbb{F}_{2}$ -linear transition, and extend algorithms computing the period and the dimensions of equidistribution to the affine case. The resulted generator generates double precision floating point numbers faster than the Mersenne Twister, whoes output numbers only have 32-bit precision.

Suggested Citation

  • Mutsuo Saito & Makoto Matsumoto, 2009. "A PRNG Specialized in Double Precision Floating Point Numbers Using an Affine Transition," Springer Books, in: Pierre L' Ecuyer & Art B. Owen (ed.), Monte Carlo and Quasi-Monte Carlo Methods 2008, pages 589-602, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-04107-5_38
    DOI: 10.1007/978-3-642-04107-5_38
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