[Gretl-users] random number generation

Sven Schreiber svetosch at gmx.net
Tue Nov 15 15:14:44 EST 2016


Am 15.11.2016 um 18:16 schrieb Allin Cottrell:
> Hello all,
>
> Some news and a warning.
>
> For some time now we've been using the Marsaglia-Tsang "Ziggurat"
> algorithm for generating (pseudo-)random normal variates. Recently, Jack
> noticed that we were considerably slower than Octave at doing this, so
> we compared the respective codes.
>
> It turned out that the Octave Ziggurat code (written by David Bateman)
> was indeed better than what we had: not only faster, but also gives
> denser coverage of the real line. We checked it using l'Ecuyer's "Big
> Crush" suite and it passed with flying colors. Therefore in current git
> we have switched to Bateman's implementation.

Thanks -- could you perhaps also comment on the comparison in this (not 
brand new) talk by Dirk Eddelbüttel:

http://dirk.eddelbuettel.com/papers/useR2014_rcppziggurat.pdf

Check out slide number 11 (or 13, depending on the counting), where 
"ZiggGretl" appears.

cheers,
sven


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