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Article: The ziggurat method for generating random variables

TitleThe ziggurat method for generating random variables
Authors
Issue Date2000
PublisherUniversity of California at Los Angeles, Department of Statistics. The Journal's web site is located at http://www.jstatsoft.org/
Citation
Journal Of Statistical Software, 2000, v. 5, p. 1-7 How to Cite?
AbstractWe provide a new version of our ziggurat method for generating a random variable from a given decreasing density. It is faster and simpler than the original, and will produce, for example, normal or exponential variates at the rate of 15 million per second with a C version on a 400MHz PC. It uses two tables, integers ki and reals wi. Some 99% of the time, the required x is produced by: Generate a random 32-bit integer j and let i be the index formed from the rightmost 8 bits of j. If j < ki return x = j x wi. We illustrate with C code that provides for inline generation of both normal and exponential variables, with a short procedure for setting up the necessary tables.
Persistent Identifierhttp://hdl.handle.net/10722/88916
ISSN
2015 Impact Factor: 2.379
2015 SCImago Journal Rankings: 2.970
References

 

DC FieldValueLanguage
dc.contributor.authorMarsaglia, Gen_HK
dc.contributor.authorTsang, WWen_HK
dc.date.accessioned2010-09-06T09:50:05Z-
dc.date.available2010-09-06T09:50:05Z-
dc.date.issued2000en_HK
dc.identifier.citationJournal Of Statistical Software, 2000, v. 5, p. 1-7en_HK
dc.identifier.issn1548-7660en_HK
dc.identifier.urihttp://hdl.handle.net/10722/88916-
dc.description.abstractWe provide a new version of our ziggurat method for generating a random variable from a given decreasing density. It is faster and simpler than the original, and will produce, for example, normal or exponential variates at the rate of 15 million per second with a C version on a 400MHz PC. It uses two tables, integers ki and reals wi. Some 99% of the time, the required x is produced by: Generate a random 32-bit integer j and let i be the index formed from the rightmost 8 bits of j. If j < ki return x = j x wi. We illustrate with C code that provides for inline generation of both normal and exponential variables, with a short procedure for setting up the necessary tables.en_HK
dc.languageengen_HK
dc.publisherUniversity of California at Los Angeles, Department of Statistics. The Journal's web site is located at http://www.jstatsoft.org/en_HK
dc.relation.ispartofJournal of Statistical Softwareen_HK
dc.titleThe ziggurat method for generating random variablesen_HK
dc.typeArticleen_HK
dc.identifier.emailTsang, WW:tsang@cs.hku.hken_HK
dc.identifier.authorityTsang, WW=rp00179en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.scopuseid_2-s2.0-0040833010en_HK
dc.identifier.hkuros67135en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0040833010&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume5en_HK
dc.identifier.spage1en_HK
dc.identifier.epage7en_HK
dc.identifier.scopusauthoridMarsaglia, G=6603739473en_HK
dc.identifier.scopusauthoridTsang, WW=7201558521en_HK

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