Timeline for Pseudo-random number generation algorithms
Current License: CC BY-SA 4.0
7 events
| when toggle format | what | by | license | comment | |
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| Jul 3 at 4:07 | comment | added | Thomas Lumley | @John it turns out the Box-Muller method is more sensitive in the tails to the discreteness of the 32-bit random number stream that goes into it. R switched to inversion several years ago because the quality is better even though it's slower. | |
| Jul 3 at 3:12 | history | edited | User1865345 | CC BY-SA 4.0 |
added 5 characters in body
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| Aug 25, 2010 at 21:28 | comment | added | chl | @John Indeed, the polar method is available in R, see the setRNG package. | |
| Aug 25, 2010 at 16:21 | comment | added | shabbychef | I also find this suspicious. Marsaglia's Ziggurat is the default in Matlab, and I can't imagine Matlab being better than R in the field of random number generation. | |
| Aug 25, 2010 at 14:53 | comment | added | John D. Cook | Are you sure about your second point, generating normal random variables by inverting the CDF? The inverse of the normal CDF is a fairly expensive function to evaluate. I imagine Box-Muller's method would be faster. Faster still would be Marsaglia's ziggurat method for generating normals. | |
| Aug 10, 2010 at 6:39 | vote | accept | Mehper C. Palavuzlar | ||
| Jul 19, 2010 at 20:41 | history | answered | csgillespie | CC BY-SA 2.5 |