[Numpy-discussion] Random number generators.

Stephan Tolksdorf st at sigmasquared.net
Sun Jun 4 15:21:08 CDT 2006


> MWC8222:
> 
> nums/sec:  1.12e+08
> 
> MT19937:
> 
> nums/sec:  5.41e+07
> The times for 32 bit binaries is roughly the same. For generating large 
> arrays of random numbers on 64 bit architectures it looks like MWC8222 
> is a winner. So, the question is, is there a good way to make the rng 
> selectable?

Although there are in general good reasons for having more than one 
random number generator available (and testing one's code with more than 
one generator), performance shouldn't be the deciding concern for 
selecting one. The most important characteristic of a random number 
generator are its distributional properties, e.g. how "uniform" and 
"random" its generated numbers are. There's hardly any generator which 
is faster than the Mersenne Twister _and_ has a better 
equi-distribution. Actually, the MT is so fast that on modern processors 
the contribution of the uniform number generator to most non-trivial 
simulation code is negligible. See www.iro.umontreal.ca/~lecuyer/ for 
good (mathematical) surveys on this topic.

If you really need that last inch of performance, you should seriously 
think about outsourcing your inner simulation loop to C(++). And by the 
way, there's a good chance that making the rng selectable has a negative 
performance impact on random number generation (at least if the 
generation is done through the same interface and the current 
implementation is sufficiently optimized).

Regards,
   Stephan




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