FW: [BLACKBOX] Random Number Tests

From: null <">
Date: Wed, 19 Nov 2008 09:01:37 +0000

----boundary-LibPST-iamunique-1665396570_-_-
Content-type: text/plain

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 
> 
> 
> 
> 	----
> 	To unsubscribe, send a message with body "SIGNOFF 
> BLACKBOX" to LISTSERV{([at]})nowhere.xy> 	
> 
> 
> ---- To unsubscribe, send a message with body "SIGNOFF 
> BLACKBOX" to LISTSERV{([at]})nowhere.xy> 
----boundary-LibPST-iamunique-1665396570_-_-
Content-type: application/rtf
Content-transfer-encoding: base64
Content-Disposition: attachment; filename="rtf-body.rtf"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----boundary-LibPST-iamunique-1665396570_-_---

Received on Wed Nov 19 2008 - 10:01:37 UTC