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Hypergeometric (VSL_RNG_METHOD_HYPERGEOMETRIC_H2PE)

Hypergeometric distribution with parameters
l
,
s
, and
m
. If
M - kL
> 40 and
kL < kH
, where
M
= ⌊min(
s
+ 1,
l - s
+ 1)⋅min(
m
+ 1,
l - m
+ 1)/(
l
+ 2)⌋,
kL
= max(
0
,min(
s.l - s
) - (max(
m,l - m
)),
kH
= min(min(
m,l - m
), min(
s,l - s
)), the random numbers are generated by the H2PE method (see [Kach85] for details). Otherwise, they are produced using the inverse transformation method in combination with the table lookup method. The H2PE method is a variation of the acceptance/rejection method that uses constant (on the fraction close to the distribution mode) and exponential (at the distribution tails) functions as majorizing functions. To avoid time-consuming acceptance/rejection checks, a squeezing technique is applied.
See Intel® MKL Vector Statistics Random Number Generator Performance Data for test results summary and performance graphs.

Product and Performance Information

1

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