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From "Luc Maisonobe (JIRA)" <j...@apache.org>
Subject [jira] Created: (MATH-419) adding WELL random generators
Date Tue, 21 Sep 2010 19:46:39 GMT
adding WELL random generators
-----------------------------

                 Key: MATH-419
                 URL: https://issues.apache.org/jira/browse/MATH-419
             Project: Commons Math
          Issue Type: New Feature
    Affects Versions: 2.1
            Reporter: Luc Maisonobe
            Assignee: Luc Maisonobe
             Fix For: 2.2


Up to 2.1, we have few pseudo random number generators. We have an interface RandomGenerator
implemented by three classes:
 - JDKRandomGenerator that extends the JDK provided generator
 - AbstractRandomGenerator as a helper for users generators
 - BitStreamGenerator which in turn is extended only by MersenneTwister

The JDK provided generator is a simple one that can be used only for very simple needs. The
Mersenne Twister is on the other hand a fast generator with good properties well suited for
Monte-Carlo simulation. It is equidistributed for generating vectors up to dimension 623 and
has a huge period: 219937 - 1.

Since Mersenne-Twister inception in 1997, some new generators have been created, retaining
the good properties of Mersenne twister but removing some of its (few) drawbacks. The main
one is that if initialized with a bits pool containing lots of zeroes, the pool will take
a very long time time to stabilize with a roughly balanced number of zeros and ones.

I would like to add such generators (well, I already did but can withdraw my commit). The
ones I want to add are the WELL generators (Well Equidistributed Long period Linear) created
by Fran├žois Panneton, Pierre L'Ecuyer and Makoto Matsumoto. They are described in their 2006
paper: Improved Long-Period Generators Based on Linear Recurrences Modulo 2, ransactions on
Mathematical Software, 32, 1 (2006) which is available at [http://www.iro.umontreal.ca/~lecuyer/myftp/papers/wellrng.pdf].



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