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<!DOCTYPE html PUBLIC "-//W3C//DTD HTML 4.01 Transitional//EN">
<html>
<head>
<meta http-equiv="Content-Type" content="text/html; charset=us-ascii">
<title>Boost Random Number Library Generators</title>
</head>
<body bgcolor="#FFFFFF" text="#000000">
<h1>Random Number Library Generators</h1>
<ul>
<li><a href="#intro">Introduction</a></li>
<li><a href="#synopsis">Synopsis</a></li>
<li><a href="#const_mod">Class template
<code>random::const_mod</code></a></li>
<li><a href="#linear_congruential">Class template
<code>random::linear_congruential</code></a></li>
<li><a href="#rand48">Class <code>rand48</code></a></li>
<li><a href="#additive_combine">Class template
<code>random::additive_combined</code></a></li>
<li><a href="#shuffle_output">Class template
<code>random::shuffle_output</code></a></li>
<li><a href="#inversive_congruential">Class template
<code>random::inversive_congruential</code></a></li>
<li><a href="#mersenne_twister">Class template
<code>random::mersenne_twister</code></a></li>
<li><a href="#lagged_fibonacci">Class template
<code>random::lagged_fibonacci</code></a></li>
<li><a href="#performance">Performance</a></li>
</ul>
<h2><a name="intro" id="intro">Introduction</a></h2>
<p>This library provides several pseudo-random number generators. The
quality of a pseudo-random number generator crucially depends on both the
algorithm and its parameters. This library implements the algorithms as
class templates with template value parameters, hidden in namespace
<code>boost::random</code>. Any particular choice of parameters is
represented as the appropriately specializing <code>typedef</code> in
namespace <code>boost</code>.</p>
<p>Pseudo-random number generators should not be constructed (initialized)
frequently during program execution, for two reasons. First, initialization
requires full initialization of the internal state of the generator. Thus,
generators with a lot of internal state (see below) are costly to
initialize. Second, initialization always requires some value used as a
"seed" for the generated sequence. It is usually difficult to obtain
several good seed values. For example, one method to obtain a seed is to
determine the current time at the highest resolution available, e.g.
microseconds or nanoseconds. When the pseudo-random number generator is
initialized again with the then-current time as the seed, it is likely that
this is at a near-constant (non-random) distance from the time given as the
seed for first initialization. The distance could even be zero if the
resolution of the clock is low, thus the generator re-iterates the same
sequence of random numbers. For some applications, this is
inappropriate.</p>
<p>Note that all pseudo-random number generators described below are
CopyConstructible and Assignable. Copying or assigning a generator will
copy all its internal state, so the original and the copy will generate the
identical sequence of random numbers. Often, such behavior is not wanted.
In particular, beware of the algorithms from the standard library such as
std::generate. They take a functor argument by value, thereby invoking the
copy constructor when called.</p>
<p>The following table gives an overview of some characteristics of the
generators. The cycle length is a rough estimate of the quality of the
generator; the approximate relative speed is a performance measure, higher
numbers mean faster random number generation.</p>
<table border="1" summary="">
<tr>
<th>generator</th>
<th>length of cycle</th>
<th>approx. memory requirements</th>
<th>approx. relative speed</th>
<th>comment</th>
</tr>
<tr>
<td><a href="#minstd_rand"><code>minstd_rand</code></a></td>
<td>2<sup>31</sup>-2</td>
<td><code>sizeof(int32_t)</code></td>
<td>40</td>
<td>-</td>
</tr>
<tr>
<td><a href="#rand48"><code>rand48</code></a></td>
<td>2<sup>48</sup>-1</td>
<td><code>sizeof(uint64_t)</code></td>
<td>80</td>
<td>-</td>
</tr>
<tr>
<td><code>lrand48</code> (C library)</td>
<td>2<sup>48</sup>-1</td>
<td>-</td>
<td>20</td>
<td>global state</td>
</tr>
<tr>
<td><a href="#ecuyer1988"><code>ecuyer1988</code></a></td>
<td>approx. 2<sup>61</sup></td>
<td><code>2*sizeof(int32_t)</code></td>
<td>20</td>
<td>-</td>
</tr>
<tr>
<td><code><a href="#kreutzer1986">kreutzer1986</a></code></td>
<td>?</td>
<td><code>1368*sizeof(uint32_t)</code></td>
<td>60</td>
<td>-</td>
</tr>
<tr>
<td><code><a href="#hellekalek1995">hellekalek1995</a></code></td>
<td>2<sup>31</sup>-1</td>
<td><code>sizeof(int32_t)</code></td>
<td>3</td>
<td>good uniform distribution in several dimensions</td>
</tr>
<tr>
<td><code><a href="#mt11213b">mt11213b</a></code></td>
<td>2<sup>11213</sup>-1</td>
<td><code>352*sizeof(uint32_t)</code></td>
<td>100</td>
<td>good uniform distribution in up to 350 dimensions</td>
</tr>
<tr>
<td><code><a href="#mt19937">mt19937</a></code></td>
<td>2<sup>19937</sup>-1</td>
<td><code>625*sizeof(uint32_t)</code></td>
<td>100</td>
<td>good uniform distribution in up to 623 dimensions</td>
</tr>
<tr>
<td><code><a href=
"#lagged_fibonacci_spec">lagged_fibonacci607</a></code></td>
<td>approx. 2<sup>32000</sup></td>
<td><code>607*sizeof(double)</code></td>
<td>150</td>
<td>-</td>
</tr>
<tr>
<td><code><a href=
"#lagged_fibonacci_spec">lagged_fibonacci1279</a></code></td>
<td>approx. 2<sup>67000</sup></td>
<td><code>1279*sizeof(double)</code></td>
<td>150</td>
<td>-</td>
</tr>
<tr>
<td><code><a href=
"#lagged_fibonacci_spec">lagged_fibonacci2281</a></code></td>
<td>approx. 2<sup>120000</sup></td>
<td><code>2281*sizeof(double)</code></td>
<td>150</td>
<td>-</td>
</tr>
<tr>
<td><code><a href=
"#lagged_fibonacci_spec">lagged_fibonacci3217</a></code></td>
<td>approx. 2<sup>170000</sup></td>
<td><code>3217*sizeof(double)</code></td>
<td>150</td>
<td>-</td>
</tr>
<tr>
<td><code><a href=
"#lagged_fibonacci_spec">lagged_fibonacci4423</a></code></td>
<td>approx. 2<sup>230000</sup></td>
<td><code>4423*sizeof(double)</code></td>
<td>150</td>
<td>-</td>
</tr>
<tr>
<td><code><a href=
"#lagged_fibonacci_spec">lagged_fibonacci9689</a></code></td>
<td>approx. 2<sup>510000</sup></td>
<td><code>9689*sizeof(double)</code></td>
<td>150</td>
<td>-</td>
</tr>
<tr>
<td><code><a href=
"#lagged_fibonacci_spec">lagged_fibonacci19937</a></code></td>
<td>approx. 2<sup>1050000</sup></td>
<td><code>19937*sizeof(double)</code></td>
<td>150</td>
<td>-</td>
</tr>
<tr>
<td><code><a href=
"#lagged_fibonacci_spec">lagged_fibonacci23209</a></code></td>
<td>approx. 2<sup>1200000</sup></td>
<td><code>23209*sizeof(double)</code></td>
<td>140</td>
<td>-</td>
</tr>
<tr>
<td><code><a href=
"#lagged_fibonacci_spec">lagged_fibonacci44497</a></code></td>
<td>approx. 2<sup>2300000</sup></td>
<td><code>44497*sizeof(double)</code></td>
<td>60</td>
<td>-</td>
</tr>
</table>
<p>As observable from the table, there is generally a
quality/performance/memory trade-off to be decided upon when choosing a
random-number generator. The multitude of generators provided in this
library allows the application programmer to optimize the trade-off with
regard to his application domain. Additionally, employing several
fundamentally different random number generators for a given application of
Monte Carlo simulation will improve the confidence in the results.</p>
<p>If the names of the generators don't ring any bell and you have no idea
which generator to use, it is reasonable to employ <code>mt19937</code> for
a start: It is fast and has acceptable quality.</p>
<p><em>Note:</em> These random number generators are not intended for use
in applications where non-deterministic random numbers are required. See
<a href="nondet_random.html">nondet_random.html</a> for a choice of
(hopefully) non-deterministic random number generators.</p>
<p>In this description, I have refrained from documenting those members in
detail which are already defined in the <a href=
"random-concepts.html">concept documentation</a>.</p>
<h2><a name="synopsis" id="synopsis">Synopsis of the generators</a>
available from header <code><boost/random.hpp></code></h2>
<pre>
namespace boost {
namespace random {
template<class IntType, IntType m>
class const_mod;
template<class IntType, IntType a, IntType c, IntType m, IntType val>
class linear_congruential;
}
class rand48;
typedef random::linear_congruential< /* ... */ > minstd_rand0;
typedef random::linear_congruential< /* ... */ > minstd_rand;
namespace random {
template<class DataType, int w, int n, int m, int r, DataType a, int u,
int s, DataType b, int t, DataType c, int l, IntType val>
class mersenne_twister;
}
typedef random::mersenne_twister< /* ... */ > mt11213b;
typedef random::mersenne_twister< /* ... */ > mt19937;
namespace random {
template<class FloatType, unsigned int p, unsigned int q>
class lagged_fibonacci;
}
typedef random::lagged_fibonacci< /* ... */ > lagged_fibonacci607;
typedef random::lagged_fibonacci< /* ... */ > lagged_fibonacci1279;
typedef random::lagged_fibonacci< /* ... */ > lagged_fibonacci2281;
typedef random::lagged_fibonacci< /* ... */ > lagged_fibonacci3217;
typedef random::lagged_fibonacci< /* ... */ > lagged_fibonacci4423;
typedef random::lagged_fibonacci< /* ... */ > lagged_fibonacci9689;
typedef random::lagged_fibonacci< /* ... */ > lagged_fibonacci19937;
typedef random::lagged_fibonacci< /* ... */ > lagged_fibonacci23209;
typedef random::lagged_fibonacci< /* ... */ > lagged_fibonacci44497;
} // namespace boost
</pre>
<h2><a name="const_mod" id="const_mod">Class template
<code>random::const_mod</code></a></h2>
<h3>Synopsis</h3>
<pre>
template<class IntType, IntType m>
class random::const_mod
{
public:
template<IntType c>
static IntType add(IntType x);
template<IntType a>
static IntType mult(IntType x);
template<IntType a, IntType c>
static IntType mult_add(IntType x);
static IntType invert(IntType x);
private:
const_mod(); // don't instantiate
};
</pre>
<h3>Description</h3>
<p>Class template <code>const_mod</code> provides functions performing
modular arithmetic, carefully avoiding overflows. All member functions are
static; there shall be no objects of type
<code>const_mod<></code>.</p>
<p>The template parameter <code>IntType</code> shall denote an integral
type, <code>m</code> is the modulus.</p>
<p><em>Note:</em> For modulo multiplications with large m, a trick allows
fast computation under certain conditions, see</p>
<blockquote>
"A more portable FORTRAN random number generator", Linus Schrage, ACM
Transactions on Mathematical Software, Vol. 5, No. 2, June 1979, pp.
132-138
</blockquote>
<h3>Member functions</h3>
<pre>
template<IntType c> static IntType add(IntType x)
</pre>
<p><strong>Returns:</strong> (x+c) mod m</p>
<pre>
template<IntType a> static IntType mult(IntType x)
</pre>
<p><strong>Returns:</strong> (a*x) mod m</p>
<pre>
template<IntType a, IntType c> static IntType
mult_add(IntType x)
</pre>
<p><strong>Returns:</strong> (a*x+c) mod m</p>
<pre>
static IntType invert(IntType x)
</pre>
<p><strong>Returns:</strong> i so that (a*i) mod m == 1<br>
<strong>Precondition:</strong> m is prime</p>
<h2><a name="linear_congruential" id="linear_congruential">Class template
<code>random::linear_congruential</code></a></h2>
<h3>Synopsis</h3>
<pre>
#include <<a href=
"../../boost/random/linear_congruential.hpp">boost/random/linear_congruential.hpp</a>>
template<class IntType, IntType a, IntType c, IntType m, IntType val>
class linear_congruential
{
public:
typedef IntType result_type;
static const IntType multiplier = a;
static const IntType increment = c;
static const IntType modulus = m;
static const bool has_fixed_range = true;
static const result_type min_value;
static const result_type max_value;
explicit linear_congruential_fixed(IntType x0 = 1);
// compiler-generated copy constructor and assignment operator are fine
void seed(IntType x0);
IntType operator()();
};
typedef random::linear_congruential<long, 16807L, 0, 2147483647L,
1043618065L> minstd_rand0;
typedef random::linear_congruential<long, 48271L, 0, 2147483647L,
399268537L> minstd_rand;
</pre>
<h3>Description</h3>
<p>Instantiations of class template <code>linear_congruential</code> model
a <a href="random-concepts.html#pseudo-rng">pseudo-random number
generator</a>. Linear congruential pseudo-random number generators are
described in:</p>
<blockquote>
"Mathematical methods in large-scale computing units", D. H. Lehmer,
Proc. 2nd Symposium on Large-Scale Digital Calculating Machines, Harvard
University Press, 1951, pp. 141-146
</blockquote>Let x(n) denote the sequence of numbers returned by some
pseudo-random number generator. Then for the linear congruential generator,
x(n+1) := (a * x(n) + c) mod m. Parameters for the generator are x(0), a,
c, m. The template parameter <code>IntType</code> shall denote an integral
type. It must be large enough to hold values a, c, and m. The template
parameters a and c must be smaller than m.
<p><em>Note:</em> The quality of the generator crucially depends on the
choice of the parameters. User code should use one of the sensibly
parameterized generators such as <code>minstd_rand</code> instead.<br>
For each choice of the parameters a, c, m, some distinct type is defined,
so that the <code>static</code> members do not interfere with regard to the
one definition rule.</p>
<h3>Members</h3>
<pre>
explicit linear_congruential(IntType x0 = 1)
</pre>
<p><strong>Effects:</strong> Constructs a <code>linear_congruential</code>
generator with x(0) := <code>x0</code>.</p>
<pre>
void seed(IntType x0)
</pre>
<p><strong>Effects:</strong> Changes the current value x(n) of the
generator to <code>x0</code>.</p>
<h3><a name="minstd_rand" id="minstd_rand">Specializations</a></h3>
<p>The specialization <code>minstd_rand0</code> was originally suggested
in</p>
<blockquote>
A pseudo-random number generator for the System/360, P.A. Lewis, A.S.
Goodman, J.M. Miller, IBM Systems Journal, Vol. 8, No. 2, 1969, pp.
136-146
</blockquote>It is examined more closely together with
<code>minstd_rand</code> in
<blockquote>
"Random Number Generators: Good ones are hard to find", Stephen K. Park
and Keith W. Miller, Communications of the ACM, Vol. 31, No. 10, October
1988, pp. 1192-1201
</blockquote>
<h2><a name="rand48" id="rand48">Class <code>rand48</code></a></h2>
<h3>Synopsis</h3>
<pre>
#include <<a href=
"../../boost/random/linear_congruential.hpp">boost/random/linear_congruential.hpp</a>>
class rand48
{
public:
typedef int32_t result_type;
static const bool has_fixed_range = true;
static const int32_t min_value = 0;
static const int32_t max_value = 0x7fffffff;
explicit rand48(int32_t x0 = 1);
explicit rand48(uint64_t x0);
// compiler-generated copy ctor and assignment operator are fine
void seed(int32_t x0);
void seed(uint64_t x0);
int32_t operator()();
};
</pre>
<h3>Description</h3>
<p>Class <code>rand48</code> models a <a href=
"random-concepts.html#pseudo-rng">pseudo-random number generator</a>. It
uses the linear congruential algorithm with the parameters a = 0x5DEECE66D,
c = 0xB, m = 2**48. It delivers identical results to the
<code>lrand48()</code> function available on some systems (assuming
<code>lcong48</code> has not been called).</p>
<p>It is only available on systems where <code>uint64_t</code> is provided
as an integral type, so that for example static in-class constants and/or
enum definitions with large <code>uint64_t</code> numbers work.</p>
<h3>Constructors</h3>
<pre>
rand48(int32_t x0)
</pre>
<p><strong>Effects:</strong> Constructs a <code>rand48</code> generator
with x(0) := (<code>x0</code> << 16) | 0x330e.</p>
<pre>
rand48(uint64_t x0)
</pre>
<p><strong>Effects:</strong> Constructs a <code>rand48</code> generator
with x(0) := <code>x0</code>.</p>
<h3>Seeding</h3>
<pre>
void seed(int32_t x0)
</pre>
<p><strong>Effects:</strong> Changes the current value x(n) of the
generator to (<code>x0</code> << 16) | 0x330e.</p>
<pre>
void seed(uint64_t x0)
</pre>
<p><strong>Effects:</strong> Changes the current value x(n) of the
generator to <code>x0</code>.</p>
<h2><a name="additive_combine" id="additive_combine">Class template
<code>random::additive_combine</code></a></h2>
<h3>Synopsis</h3>
<pre>
#include <<a href=
"../../boost/random/additive_combine.hpp">boost/random/additive_combine.hpp</a>>
template<class MLCG1, class MLCG2, typename MLCG1::result_type val>
class random::additive_combine
{
public:
typedef MLCG1 first_base;
typedef MLCG2 second_base;
typedef typename MLCG1::result_type result_type;
static const bool has_fixed_range = true;
static const result_type min_value = 1;
static const result_type max_value = MLCG1::max_value-1;
additive_combine();
additive_combine(typename MLCG1::result_type seed1,
typename MLCG2::result_type seed2);
result_type operator()();
bool validation(result_type x) const;
};
typedef random::additive_combine<
random::linear_congruential<int32_t, 40014, 0, 2147483563, 0>,
random::linear_congruential<int32_t, 40692, 0, 2147483399, 0>,
/* unknown */ 0> ecuyer1988;
</pre>
<h3>Description</h3>
<p>Instatiations of class template <code>additive_combine</code> model a
<a href="random-concepts.html#pseudo-rng">pseudo-random number
generator</a>. It combines two multiplicative linear congruential number
generators, i.e. those with c = 0. It is described in</p>
<blockquote>
"Efficient and Portable Combined Random Number Generators", Pierre
L'Ecuyer, Communications of the ACM, Vol. 31, No. 6, June 1988, pp.
742-749, 774
</blockquote>The template parameters <code>MLCG1</code> and
<code>MLCG2</code> shall denote two different linear congruential number
generators, each with c = 0. Each invocation returns a random number X(n)
:= (MLCG1(n) - MLCG2(n)) mod (m1 - 1), where m1 denotes the modulus of
<code>MLCG1</code>.
<p>The template parameter <code>val</code> is the validation value checked
by <code>validation</code>.</p>
<h3>Members</h3>
<pre>
additive_combine()
</pre>
<p><strong>Effects:</strong> Constructs an <code>additive_combine</code>
generator using the default constructors of the two base generators.</p>
<pre>
additive_combine(typename MLCG1::result_type seed1,
typename MLCG2::result_type seed2)
</pre>
<p><strong>Effects:</strong> Constructs an <code>additive_combine</code>
generator, using <code>seed1</code> and <code>seed2</code> as the
constructor argument to the first and second base generator,
respectively.</p>
<h3><a name="ecuyer1988" id="ecuyer1988">Specialization</a></h3>
<p>The specialization <code>ecuyer1988</code> was suggested in the above
paper.</p>
<h2><a name="shuffle_output" id="shuffle_output">Class template
<code>random::shuffle_output</code></a></h2>
<h3>Synopsis</h3>
<pre>
#include <<a href=
"../../boost/random/shuffle_output.hpp">boost/random/shuffle_output.hpp</a>>
template<class UniformRandomNumberGenerator, int k,
typename UniformRandomNumberGenerator::result_type val = 0>
class random::shuffle_output
{
public:
typedef UniformRandomNumberGenerator base_type;
typedef typename base_type::result_type result_type;
static const bool has_fixed_range = false;
shuffle_output();
template<class T> explicit shuffle_output(T seed);
explicit shuffle_output(const base_type & rng);
template<class T> void seed(T s);
result_type operator()();
result_type min() const;
result_type max() const;
bool validation(result_type) const;
};
</pre>
<h3>Description</h3>
<p>Instatiations of class template <code>shuffle_output</code> model a
<a href="random-concepts.html#pseudo-rng">pseudo-random number
generator</a>. It mixes the output of some (usually linear congruential)
uniform random number generator to get better statistical properties.
According to Donald E. Knuth, "The Art of Computer Programming, Vol. 2",
the algorithm is described in</p>
<blockquote>
"Improving a poor random number generator", Carter Bays and S.D. Durham,
ACM Transactions on Mathematical Software, Vol. 2, 1979, pp. 59-64.
</blockquote>The output of the base generator is buffered in an array of
length k. Every output X(n) has a second role: It gives an index into the
array where X(n+1) will be retrieved. Used array elements are replaced with
fresh output from the base generator.
<p>Template parameters are the base generator and the array length k, which
should be around 100. The template parameter <code>val</code> is the
validation value checked by <code>validation</code>.</p>
<h3>Members</h3>
<pre>
shuffle_output()
</pre>
<p><strong>Effects:</strong> Constructs a <code>shuffle_output</code>
generator by invoking the default constructor of the base generator.</p>
<p><strong>Complexity:</strong> Exactly k+1 invocations of the base
generator.</p>
<pre>
template<class T> explicit shuffle_output(T seed)
</pre>
<p><strong>Effects:</strong> Constructs a <code>shuffle_output</code>
generator by invoking the one-argument constructor of the base generator
with the parameter <code>seed</code>.</p>
<p><strong>Complexity:</strong> Exactly k+1 invocations of the base
generator.</p>
<pre>
explicit shuffle_output(const base_type & rng)
</pre>
<p><strong>Precondition:</strong> The template argument
<code>UniformRandomNumberGenerator</code> shall denote a CopyConstructible
type.</p>
<p><strong>Effects:</strong> Constructs a <code>shuffle_output</code>
generator by using a copy of the provided generator.</p>
<p><strong>Complexity:</strong> Exactly k+1 invocations of the base
generator.</p>
<pre>
template<class T> void seed(T s)
</pre>
<p><strong>Effects:</strong> Invokes the one-argument <code>seed</code>
method of the base generator with the parameter <code>seed</code> and
re-initializes the internal buffer array.</p>
<p><strong>Complexity:</strong> Exactly k+1 invocations of the base
generator.</p>
<h3><a name="kreutzer1986" id="kreutzer1986">Specializations</a></h3>
<p>According to Harry Erwin (private e-mail), the specialization
<code>kreutzer1986</code> was suggested in:</p>
<blockquote>
"System Simulation: programming Styles and Languages (International
Computer Science Series)", Wolfgang Kreutzer, Addison-Wesley, December
1986.
</blockquote>
<h2><a name="inversive_congruential" id="inversive_congruential">Class
template <code>random::inversive_congruential</code></a></h2>
<h3>Synopsis</h3>
<pre>
#include <<a href=
"../../boost/random/inversive_congruential.hpp">boost/random/inversive_congruential.hpp</a>>
template<class IntType, IntType a, IntType b, IntType p>
class random::inversive_congruential
{
public:
typedef IntType result_type;
static const bool has_fixed_range = true;
static const result_type min_value = (b == 0 ? 1 : 0);
static const result_type max_value = p-1;
static const result_type multiplier = a;
static const result_type increment = b;
static const result_type modulus = p;
explicit inversive_congruential(IntType y0 = 1);
void seed(IntType y0);
IntType operator()();
};
typedef random::inversive_congruential<int32_t, 9102, 2147483647-36884165, 2147483647> hellekalek1995;
</pre>
<h3>Description</h3>
<p>Instantiations of class template <code>inversive_congruential</code>
model a <a href="random-concepts.html#pseudo-rng">pseudo-random number
generator</a>. It uses the inversive congruential algorithm (ICG) described
in</p>
<blockquote>
"Inversive pseudorandom number generators: concepts, results and links",
Peter Hellekalek, In: "Proceedings of the 1995 Winter Simulation
Conference", C. Alexopoulos, K. Kang, W.R. Lilegdon, and D. Goldsman
(editors), 1995, pp. 255-262. <a href=
"ftp://random.mat.sbg.ac.at/pub/data/wsc95.ps">ftp://random.mat.sbg.ac.at/pub/data/wsc95.ps</a>
</blockquote>The output sequence is defined by x(n+1) = (a*inv(x(n)) - b)
(mod p), where x(0), a, b, and the prime number p are parameters of the
generator. The expression inv(k) denotes the multiplicative inverse of k in
the field of integer numbers modulo p, with inv(0) := 0.
<p>The template parameter <code>IntType</code> shall denote a signed
integral type large enough to hold p; a, b, and p are the parameters of the
generators.</p>
<p><em>Note:</em> The implementation currently uses the Euclidian Algorithm
to compute the multiplicative inverse. Therefore, the inversive generators
are about 10-20 times slower than the others (see section"<a href=
"#performance">performance</a>"). However, the paper talks of only 3x
slowdown, so the Euclidian Algorithm is probably not optimal for
calculating the multiplicative inverse.</p>
<h3>Members</h3>
<pre>
inversive_congruential(IntType y0 = 1)
</pre>
<p><strong>Effects:</strong> Constructs an
<code>inversive_congruential</code> generator with <code>y0</code> as the
initial state.</p>
<pre>
void seed(IntType y0)
</pre>
<p><strong>Effects:</strong> Changes the current state to
<code>y0</code>.</p>
<h3><a name="hellekalek1995" id="hellekalek1995">Specialization</a></h3>
<p>The specialization <code>hellekalek1995</code> was suggested in the
above paper.</p>
<h2><a name="mersenne_twister" id="mersenne_twister">Class template
<code>random::mersenne_twister</code></a></h2>
<h3>Synopsis</h3>
<pre>
#include <<a href=
"../../boost/random/mersenne_twister.hpp">boost/random/mersenne_twister.hpp</a>>
template<class DataType, int w, int n, int m, int r, DataType a, int u,
int s, DataType b, int t, DataType c, int l, IntType val>
class random::mersenne_twister
{
public:
typedef DataType result_type;
static const bool has_fixed_range = true;
static const result_type min_value;
static const result_type max_value;
mersenne_twister();
explicit mersenne_twister(DataType value);
template<class Generator> explicit mersenne_twister(Generator & gen);
// compiler-generated copy ctor and assignment operator are fine
void seed();
void seed(DataType value);
template<class Generator> void seed(Generator & gen);
result_type operator()();
bool validation(result_type) const;
};
typedef mersenne_twister<uint32_t,351,175,19,0xccab8ee7,11,7,0x31b6ab00,15,0xffe50000,17, /* unknown */ 0> mt11213b;
typedef mersenne_twister<uint32_t,624,397,31,0x9908b0df,11,7,0x9d2c5680,15,0xefc60000,18, 3346425566U> mt19937;
</pre>
<h3>Description</h3>
<p>Instantiations of class template <code>mersenne_twister</code> model a
<a href="random-concepts.html#pseudo-rng">pseudo-random number
generator</a>. It uses the algorithm described in</p>
<blockquote>
"Mersenne Twister: A 623-dimensionally equidistributed uniform
pseudo-random number generator", Makoto Matsumoto and Takuji Nishimura,
ACM Transactions on Modeling and Computer Simulation: Special Issue on
Uniform Random Number Generation, Vol. 8, No. 1, January 1998, pp. 3-30.
<!-- <a href="http://www.math.keio.ac.jp/matumoto/emt.html">http://www.math.keio.ac.jp/matumoto/emt.html</a> -->
</blockquote><em>Note:</em> The boost variant has been implemented from
scratch and does not derive from or use mt19937.c provided on the above WWW
site. However, it was verified that both produce identical output.<br>
The seeding from an integer was changed in April 2005 to address a <a href=
"http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/MT2002/emt19937ar.html">weakness</a>.<br>
The quality of the generator crucially depends on the choice of the
parameters. User code should employ one of the sensibly parameterized
generators such as <code>mt19937</code> instead.<br>
The generator requires considerable amounts of memory for the storage of
its state array. For example, <code>mt11213b</code> requires about 1408
bytes and <code>mt19937</code> requires about 2496 bytes.
<h3>Constructors</h3>
<pre>
mersenne_twister()
</pre>
<p><strong>Effects:</strong> Constructs a <code>mersenne_twister</code> and
calls <code>seed()</code>.</p>
<pre>
explicit mersenne_twister(result_type value)
</pre>
<p><strong>Effects:</strong> Constructs a <code>mersenne_twister</code> and
calls <code>seed(value)</code>.</p>
<pre>
template<class Generator> explicit mersenne_twister(Generator & gen)
</pre>
<p><strong>Effects:</strong> Constructs a <code>mersenne_twister</code> and
calls <code>seed(gen)</code>.</p>
<p><em>Note:</em> When using direct-initialization syntax with an lvalue
(e.g. in the variable definition <code>Gen gen2(gen);</code>), this
templated constructor will be preferred over the compiler-generated copy
constructor. For variable definitions which should copy the state of
another <code>mersenne_twister</code>, use e.g. <code>Gen gen2 =
gen;</code>, which is copy-initialization syntax and guaranteed to invoke
the copy constructor.</p>
<h3>Seeding</h3>
<pre>
void seed()
</pre>
<p><strong>Effects:</strong> Calls
<code>seed(result_type(5489))</code>.</p>
<pre>
void seed(result_type value)
</pre>
<p><strong>Effects:</strong> Sets the state x(0) to v mod 2<sup>w</sup>.
Then, iteratively,<br>
sets x(i) to (i + 1812433253 * (x(i-1) <em>xor</em> (x(i-1) <em>rshift</em>
w-2))) mod 2<sup>w</sup> for i = 1 .. n-1. x(n) is the first value to be
returned by operator().</p>
<pre>
template<class Generator> void seed(Generator & gen)
</pre>
<p><strong>Effects:</strong> Sets the state of this
<code>mersenne_twister</code> to the values returned by <code>n</code>
invocations of <code>gen</code>.</p>
<p><strong>Complexity:</strong> Exactly <code>n</code> invocations of
<code>gen</code>.</p>
<p><em>Note:</em> When invoking <code>seed</code> with an lvalue, overload
resolution chooses the function template unless the type of the argument
exactly matches <code>result_type</code>. For other integer types, you
should convert the argument to <code>result_type</code> explicitly.</p>
<h3><a name="mt11213b" id="mt11213b"></a><a name="mt19937" id=
"mt19937">Specializations</a></h3>
<p>The specializations <code>mt11213b</code> and <code>mt19937</code> are
from the paper cited above.</p>
<h2><a name="lagged_fibonacci" id="lagged_fibonacci">Class template
<code>random::lagged_fibonacci</code></a></h2>
<h3>Synopsis</h3>
<pre>
#include <<a href=
"../../boost/random/lagged_fibonacci.hpp">boost/random/lagged_fibonacci.hpp</a>>
template<class FloatType, unsigned int p, unsigned int q>
class lagged_fibonacci
{
public:
typedef FloatType result_type;
static const bool has_fixed_range = false;
static const unsigned int long_lag = p;
static const unsigned int short_lag = q;
result_type min() const { return 0.0; }
result_type max() const { return 1.0; }
lagged_fibonacci();
explicit lagged_fibonacci(uint32_t value);
template<class Generator>
explicit lagged_fibonacci(Generator & gen);
// compiler-generated copy ctor and assignment operator are fine
void seed(uint32_t value = 331u);
template<class Generator> void seed(Generator & gen);
result_type operator()();
bool validation(result_type x) const;
};
typedef random::lagged_fibonacci<double, 607, 273> lagged_fibonacci607;
typedef random::lagged_fibonacci<double, 1279, 418> lagged_fibonacci1279;
typedef random::lagged_fibonacci<double, 2281, 1252> lagged_fibonacci2281;
typedef random::lagged_fibonacci<double, 3217, 576> lagged_fibonacci3217;
typedef random::lagged_fibonacci<double, 4423, 2098> lagged_fibonacci4423;
typedef random::lagged_fibonacci<double, 9689, 5502> lagged_fibonacci9689;
typedef random::lagged_fibonacci<double, 19937, 9842> lagged_fibonacci19937;
typedef random::lagged_fibonacci<double, 23209, 13470> lagged_fibonacci23209;
typedef random::lagged_fibonacci<double, 44497, 21034> lagged_fibonacci44497;
</pre>
<h3>Description</h3>
<p>Instantiations of class template <code>lagged_fibonacci</code> model a
<a href="random-concepts.html#pseudo-rng">pseudo-random number
generator</a>. It uses a lagged Fibonacci algorithm with two lags p and q,
evaluated in floating-point arithmetic: x(i) = x(i-p) + x(i-q) (mod 1) with
p > q. See</p>
<blockquote>
"Uniform random number generators for supercomputers", Richard Brent,
Proc. of Fifth Australian Supercomputer Conference, Melbourne, Dec. 1992,
pp. 704-706.
</blockquote>
<p><em>Note:</em> The quality of the generator crucially depends on the
choice of the parameters. User code should employ one of the sensibly
parameterized generators such as <code>lagged_fibonacci607</code>
instead.<br>
The generator requires considerable amounts of memory for the storage of
its state array. For example, <code>lagged_fibonacci607</code> requires
about 4856 bytes and <code>lagged_fibonacci44497</code> requires about 350
KBytes.</p>
<h3>Constructors</h3>
<pre>
lagged_fibonacci()
</pre>
<p><strong>Effects:</strong> Constructs a <code>lagged_fibonacci</code>
generator and calls <code>seed()</code>.</p>
<pre>
explicit lagged_fibonacci(uint32_t value)
</pre>
<p><strong>Effects:</strong> Constructs a <code>lagged_fibonacci</code>
generator and calls <code>seed(value)</code>.</p>
<pre>
template<class Generator> explicit lagged_fibonacci(Generator & gen)
</pre>
<p><strong>Effects:</strong> Constructs a <code>lagged_fibonacci</code>
generator and calls <code>seed(gen)</code>.</p>
<h3>Seeding</h3>
<pre>
void seed()
</pre>
<p><strong>Effects:</strong> Calls <code>seed(331u)</code>.</p>
<pre>
void seed(uint32_t value)
</pre>
<p><strong>Effects:</strong> Constructs a <code>minstd_rand0</code>
generator with the constructor parameter <code>value</code> and calls
<code>seed</code> with it.</p>
<pre>
template<class Generator> void seed(Generator & gen)
</pre>
<p><strong>Effects:</strong> Sets the state of this
<code>lagged_fibonacci</code> to the values returned by <code>p</code>
invocations of <code>uniform_01<gen, FloatType></code>.<br>
<strong>Complexity:</strong> Exactly <code>p</code> invocations of
<code>gen</code>.</p>
<h3><a name="lagged_fibonacci_spec" id=
"lagged_fibonacci_spec"></a>Specializations</h3>
<p>The specializations <code>lagged_fibonacci607</code> ...
<code>lagged_fibonacci44497</code> (see above) use well tested lags.
(References will be added later.)</p>
<h2><a name="performance" id="performance">Performance</a></h2>
<p>The test program <a href="random_speed.cpp">random_speed.cpp</a>
measures the execution times of the <a href=
"../../boost/random.hpp">random.hpp</a> implementation of the above
algorithms in a tight loop. The performance has been evaluated on a Pentium
Pro 200 MHz with gcc 2.95.2, Linux 2.2.13, glibc 2.1.2.</p>
<table border="1" summary="">
<tr>
<th>class</th>
<th>time per invocation [usec]</th>
</tr>
<tr>
<td>rand48</td>
<td>0.096</td>
</tr>
<tr>
<td>rand48 run-time configurable</td>
<td>0.697</td>
</tr>
<tr>
<td>lrand48 glibc 2.1.2</td>
<td>0.844</td>
</tr>
<tr>
<td>minstd_rand</td>
<td>0.174</td>
</tr>
<tr>
<td>ecuyer1988</td>
<td>0.445</td>
</tr>
<tr>
<td>kreutzer1986</td>
<td>0.249</td>
</tr>
<tr>
<td>hellekalek1995 (inversive)</td>
<td>4.895</td>
</tr>
<tr>
<td>mt11213b</td>
<td>0.165</td>
</tr>
<tr>
<td>mt19937</td>
<td>0.165</td>
</tr>
<tr>
<td>mt19937 original</td>
<td>0.185</td>
</tr>
<tr>
<td>lagged_fibonacci607</td>
<td>0.111</td>
</tr>
<tr>
<td>lagged_fibonacci4423</td>
<td>0.112</td>
</tr>
<tr>
<td>lagged_fibonacci19937</td>
<td>0.113</td>
</tr>
<tr>
<td>lagged_fibonacci23209</td>
<td>0.122</td>
</tr>
<tr>
<td>lagged_fibonacci44497</td>
<td>0.263</td>
</tr>
</table>
<p>The measurement error is estimated at +/- 10 nsec.</p>
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<p>Revised
<!--webbot bot="Timestamp" s-type="EDITED" s-format="%d %B, %Y" startspan -->05
December, 2006<!--webbot bot="Timestamp" endspan i-checksum="38516" --></p>
<p><i>Copyright © 2000-2005 <a href=
"http://www.boost.org/people/jens_maurer.htm">Jens Maurer</a></i></p>
<p><i>Distributed under the Boost Software License, Version 1.0. (See
accompanying file <a href="../../LICENSE_1_0.txt">LICENSE_1_0.txt</a> or
copy at <a href=
"http://www.boost.org/LICENSE_1_0.txt">http://www.boost.org/LICENSE_1_0.txt</a>)</i></p>
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