V114: Uniform Random Number Generator

Author(s): P. l'Ecuyer	Library: MATHLIB
Submitter: F. Carminati	Submitted: 27.02.1989
Language: Fortran	Revised:

RANECU generates a sequence of uniformly distributed random numbers in the interval (0,1). The numbers are returned in a vector. Several independent sequences can be initialized and used in the same run.

Structure:

SUBROUTINE Subprograms
User Entry Names: RANECU, RANECQ
COMMON Block Names and Lengths: /RANEC1/ 402

Usage:

    CALL RANECU(VEC,LEN,ISEQ)

VEC

(REAL) Array of length LEN at least. On exit, it will contain the in (0,1) uniformly distributed random numbers.

LEN

(INTEGER) Number of random numbers wanted. Unchanged on exit.

ISEQ

(INTEGER) Number of the independent sequence from which the LEN numbers should be extracted. If then the extraction will be made from the sequence used last. Unchanged on exit.

Several independent sequences can be defined and used. Each sequence MUST be initialized by the user, otherwise the result is unpredictable. By default the routine contains a space buffer to handle only one sequence. If more sequences are needed, then a bigger buffer should be allocated in the calling program defining the COMMON block /RANEC1/ appropriately. Two words have to be allocated plus four words for every sequence initialized.

Two integer seeds are used to initialize a sequence. Not all pairs of integers define a good random sequence or one which is independent from others. Sections of the same random sequence can be defined as independent sequences. The period of the generator is . A generation has been performed in order to provide the seeds to start any of the generated sections. There are 100 possible seed pairs and they are all numbers apart. Thus a sequence started from one of the seed pairs, after numbers will start generating the next one. Each of these sequences is of the same order of magnitude as the basic sequence offered by RNDM (V104). Longer sequences will be generated and the corresponding seeds made available to users. Note that, while the numbers generated by the default sequence will always be the same, the introduction of more sequences may modify some of them. In order to handle the initialization of the package, the following routine is provided:

    CALL RANECQ(ISEED1,ISEED2,ISEQ,CHOPT)

ISEED1

(INTEGER) On entry, it contains the first integer seed from which to start the sequence. Unchanged on exit.

ISEED2

(INTEGER) On entry, it contains the second seed from which to start the sequence. Unchanged on exit.

ISEQ

(INTEGER) On entry, it contains the number of the independent sequence of random numbers to be addressed by this call. If , then the last valid sequence used will be addressed either for a save or a store. In case the option 'R' is specified, on output the variable will contain the sequence actually used.

CHOPT

(CHARACTER*1) A character specifying the action which RANECQ should take. Possible options are:

' '

If , the sequence number ISEQ will be initialized with the default seeds of the pre-computed independent sequence number ISEQ. ISEED1 and ISEED2 are ignored.

If or , then sequence number 1 will be initialized with the default seeds. ISEED1 and ISEED2 are ignored.

'R'

Get the present status of the generator. The two integer seeds ISEED1 and ISEED2 will be returned for sequence ISEQ.

'S'

Set the status of the generator to a previously saved state. The two integer seeds ISEED1 and ISEED2 will be used to restart the generator for sequence ISEQ.

'Q'

Get the pre-generated seeds for ISEQ . There are 100 pre-generated sequences each one will generate numbers before reproducing the following one.

Timing:

Time in sec for extractions:

per call 1 4 16 128

Apollo 10000 6.2 4.4 3.9 3.8

Apollo 4000 52 37 34 33

IBM 3090E 4.9 2.9 2.5 2.4

IBM 3090EVF 3.4 2.3 2.0 1.8

Cray X-MP/48 4.2 2.2 1.7 1.5

VAX 8650 19 13 12 11.6

References:

1. P. l'Ecuyer, Efficient and Portable Random Number Generators, Comm. ACM 31 (1988) 742.
2. F. James, A Review of Pseudorandom Number Generators, Computer Phys. Comm. 60 (1990) 329-344.