Random Number Generation

Random numbers are necessary for stochastic optimization. In my experience they can also be a performance bottle neck. Try to use a moderately good random number generator that runs fast. I would avoid rand, rand32, and random that comes on your OS.

You have several options:

  • My random number generator and can be found in this free tar file. (It requires the constants.h file in the tar as well.)
  • The very popular Mersenne Twister.
  • The versatile and well documented SPRNG (scalable parallel random number generator) suite of random number generators.
    Robert Heckendorn Last updated:Aug 31, 2004 15:08