A fast vectorised implementation of Wallace's normal random number generator

Abstract

Wallace has proposed a new class of pseudo-random generators for normal variates. These generators do not require a stream of uniform pseudo-random numbers, except for initialisation. The inner loops are essentially matrix-vector multiplications and are very suitable for implementation on vector processors or vector/parallel processors such as the Fujitsu VPP300. In this report we outline Wallace's idea, consider some variations on it, and describe a vectorised implementation RANN4 which is more than three times faster than its best competitors (the Polar and Box-Muller methods) on the Fujitsu VP2200 and VPP300.