Testing of Distribution Random Number Generators

 

VSL generators are tested with a set of tests to control the quality of random number sequences of general discrete and continuous distributions.

Random numbers of discrete and continuous distributions are generated by transforming random numbers of uniform distribution. A source of uniformly distributed random numbers is a random stream produced by a basic generator. Quality of the random number sequences with non-uniform distribution greatly depends on the quality of the respective basic generator. Therefore, generators of discrete and continuous distributions are tested for each individual basic generator.

VSL can provide several methods of random number generation for any probability distribution. For example, two methods are implemented for Poisson distribution: PTPE acceptance/rejection algorithm and PoisNorm inverse transformation algorithm, based on transformation of normal distribution. The generator is tested for each of the implemented methods.

VSL offers two different implementations for each of continuous distributions:

  1. single-precision real arithmetic

  2. double-precision real arithmetic

As a rule, a single-precision version of the generator is faster than a double-precision one. Moreover, single-precision version is quite sufficient for most applications. VSL offers only one version for discrete distributions.

Apart from the above-mentioned factors, RNGs are dependent for their quality on distribution parameters. For example, different transformation techniques may be used for different parameters. Therefore, generators are also tested for different parameter sets.

Optimization Notice

Intel's compilers may or may not optimize to the same degree for non-Intel microprocessors for optimizations that are not unique to Intel microprocessors. These optimizations include SSE2, SSE3, and SSSE3 instruction sets and other optimizations. Intel does not guarantee the availability, functionality, or effectiveness of any optimization on microprocessors not manufactured by Intel. Microprocessor-dependent optimizations in this product are intended for use with Intel microprocessors. Certain optimizations not specific to Intel microarchitecture are reserved for Intel microprocessors. Please refer to the applicable product User and Reference Guides for more information regarding the specific instruction sets covered by this notice.

Notice revision #20110804

For more complete information about compiler optimizations, see our Optimization Notice.