adding WELL random generators
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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 François 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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