[BLACKBOX] FW: [BLACKBOX] Random Number Tests

From: [at]} <Treutwein>
Date: Wed, 19 Nov 2008 10:01:38 +0100

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Somehow my posting of yesterday evening from my home address
vanished (maybe due to a slight change in my sender/subscripiton
address) ...

so I try to recall from memory:

Openbugs (http://mathstat.helsinki.fi/openbugs/) is a system for
Bayesian inference Using Gibbs Sampling based on Markov Chain
Monte Carlo methodology. It is based on BlackBox and Component Pascal
and has two random number generators, which are presumably not bad:
MathLincon (a linear congruential RNG) and MathTT800 (which is as far
as I understand it a variant of or a near relative to the Mersenne
Twister (see http://www.cs.dartmouth.edu/~akapadia/project2/node10.html).
Both can be called from/are embedded into MathRandnum an enclosing
factory and general deviates module.

There may be also some stuff for testing RNGs (Andrew Thomas should know
better and maybe he is willing to comment).

To my knowledge the is nothing like Marsaglia's "die hard" test suite,
but I don't think these tests should be reimplemented (they are available
here: http://www.stat.fsu.edu/pub/diehard/). Maybe they should be
compiled to a DLL and interfaced to BlackBox ...

PS: The test routines in my (more than 10 years old) implementation of
Marsaglia's MWC generator, which Oleg posted yesterday 11:33 do no test
randomness (what randomness really may be is a philosophical question)
but tests only for speed, period and range.

regards
--
  Bernhard Treutwein
  Ludwig-Maximilians-Universität
  Ref. IIIA3 Anwendungsentwicklung
  Martiusstr. 4
  80802 München
  Tel. 089 2180-2774
  Fax. 089 2180-992774
  Mobil. 0152-01549335
  e-mail: bernhard treutwein (at) verwaltung uni-muenchen de
 
> -----Original Message-----
> From: BlackBox [mailto:BLACKBOX{([at]})nowhere.xy> Georgy Jikia
> Sent: Wednesday, November 19, 2008 1:32 AM
> To: BLACKBOX{([at]})nowhere.xy> Subject: Re: [BLACKBOX] Random Number Tests
> 
> 
> Hello Robert,
>  
> I was also thinking about using some maths library with 
> BlackBox, e.g. GSL. 
> If AMD library works also on Intel CPU's, which hopefully 
> should be the case, I would be glad to have a look at your CP 
> interfaces with ACML.
>  
> Regards
> Georgy
> 
> On Tue, Nov 18, 2008 at 8:32 PM, Robert 
> <robert.campbell_{([at]})nowhere.xy> 
> 
> 	Georgy Jikia wrote:
> 	
> 
> 		Also some popular random generators, for 
> example Mersenne Twister,  are missing.
> 		
> 		Best regards,
> 		Georgy
> 		
> 
> 
> 
> 	The Mersenne Twister is (currently) my preferred random 
> number generator.
> 	
> 	I think the 'Wirth' generator is unsuitable for large 
> simulations. It was
> 	originally published by Lewis, Goodman, & Miller. It 
> has a small state vetor (32 bits), and that worries me.
> 	
> 	The Mersenne Twister has a state vector of 633 'words', 
> each of 32 bits. The implementation I use is in the DLL ACML 
> (AMD Core Maths Library), which also
> 	includes useful stuff like LAPACK & BLAS - see 
> http://developer.amd.com/acml.aspx.
> 	
> 	I have (documented) Component Pascal interfaces if 
> anyone requires them.
> 	
> 	
> 	I suspect that 'testing' random number generators is a 
> rather specialised task, so I prefer to use ones tested by 
> other people, but with a good reputation.
> 	
> 	
> 	Regards
> 	
> 	Robert 
> 
> 
> 
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Received on Wed Nov 19 2008 - 10:01:38 UTC

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