[Numpy-discussion] Random number generators. (original) (raw)

Stephan Tolksdorf st at sigmasquared.net
Sun Jun 4 16:21:08 EDT 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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