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by caxwl
July 4th, 2012, 3:31 pm
Forum: The Quantitative Finance Code Library Project
Topic: Parallel RNG and distributed MC
Replies: 584
Views: 76259

Parallel RNG and distributed MC

<t>QuoteOriginally posted by: MiloRambaldiQuoteOriginally posted by: caxwlMT's TestU01 fail over are all linear complexity tests, since bit sequence obey recurrences by construction being a subclass of GFSR, it should not affect stochastic based simulations.Interesting. At my last job, I made a libr...
by caxwl
June 28th, 2012, 12:50 pm
Forum: The Quantitative Finance Code Library Project
Topic: Parallel RNG and distributed MC
Replies: 584
Views: 76259

Parallel RNG and distributed MC

<t>QuoteOriginally posted by: outruncaxwl, thanks. I was reading that first one yesterday (slides derived from it), which showed indeed a big bias!I decided to implement the 'treefry" random number generator, which is based on the cryptographic threesfish cipher (which is currently one of the 3 fina...
by caxwl
June 26th, 2012, 10:26 am
Forum: The Quantitative Finance Code Library Project
Topic: Parallel RNG and distributed MC
Replies: 584
Views: 76259

Parallel RNG and distributed MC

<t>QuoteOriginally posted by: MiloRambaldiQuoteOriginally posted by: quartzQuoteAbout not "needing the PRNG anymore": You reminded me of an article (I will have to try to find it again) where it was shown that parallel random number generation with MT engines, where the seeds were picked by hand (or...
by caxwl
February 22nd, 2012, 10:49 am
Forum: Programming and Software Forum
Topic: Hello World in all Languages, post here
Replies: 126
Views: 141835

Hello World in all Languages, post here

<t>The Infamous Hello World in SPL.Romeo, a young man with a remarkable patience.Juliet, a likewise young woman of remarkable grace.Ophelia, a remarkable woman much in dispute with Hamlet.Hamlet, the flatterer of Andersen Insulting A/S. Act I: Hamlet's insults and flattery. Scene I: The insulting of...
by caxwl
February 20th, 2012, 11:31 am
Forum: The Quantitative Finance Code Library Project
Topic: Parallel RNG and distributed MC
Replies: 584
Views: 76259

Parallel RNG and distributed MC

<t>Random123 passed all crush battery in TestU01, looks promising so far, I guess its NIST RNG test-suite next.Conside Intel got their MIC architecture in the pipeline, then RdRand could be alot faster scaling wise. Deterministic RNG would still be applicable for debugging etc, but I guess its depen...
by caxwl
February 14th, 2012, 9:22 am
Forum: The Quantitative Finance Code Library Project
Topic: Parallel RNG and distributed MC
Replies: 584
Views: 76259

Parallel RNG and distributed MC

<t>Hi allJust discovered this forum thread discussing more up to date PRNG; being a long time PRNG sufferer myself, and tried various methods including WELL, KISS, Mersenne twister, SPRNG using variations of parallel blocking, leaping, stream individual seeds. (Random123 will be the next analysis pr...