Raymond Toy writes:
> >>>>> "Robert" == Robert Dodier writes:
>
> As I said, the main part of CMUCL's generator is very portable.
> Converting to floating point should be easy.
>
> In cl-bench, there is also a portable version of the mrgk3a
> generator. I think that's pretty well-respected too. It requires
> fast floating-point though. One advantage is that the state is fairly
> small, unlike the 600+ words for mt-19937.
For serious Monte Carlo you need a collection of random number
generators. Sometimes you just want very good random numbers, where
good is application specific, and sometimes you'll settle for less
good because you need so many of them that you need to get them very
quickly.
--
Harvey Stein
Bloomberg LP
hjstein@bloomberg.com