[RNG-151] Modified Ziggurat algorithm for normal and exponential sampling

• Type: Improvement
• Status: Closed
• Priority: Major
• Resolution: Implemented
• Affects Version/s: 1.3
• Fix Version/s: 1.4
• Component/s: sampling
• Assignee: Unassigned
• Reporter: Alex Herbert
• Created: 05/Jul/21 14:16
• Updated: 13/Sep/21 10:41
• Resolved: 08/Jul/21 09:00

Description

The following paper describes a modification of the ziggurat method for sampling normal and exponential deviates:

McFarland, C.D. (2016)
"A modified ziggurat algorithm for generating exponentially and normally distributed pseudorandom numbers".
Journal of Statistical Computation and Simulation 86, 1281-1294.

McFarland (2016) JSCS 86, 1281-294

Note: This method is the one that has been chosen as the default implementation for the java.util.random.RandomGenerator nextGaussian and nextExponential methods to be added in JDK 17.

The method should be investigated in comparison to the current ziggurat method of Marsaglia used in ZigguratNormalizedGaussianSampler and ZigguratExponentialSampler.

 

Issue Links

• is related to: RNG-149 ZigguratExponentialSampler
• is related to: RNG-150 Update samplers to use the ziggurat exponential sampler
• is related to: RNG-37 Ziggurat algorithm
• is related to: RNG-127 Assess future compatibility with JEP 356: Enhanced Pseudo-Random Number Generators
• relates to: RNG-159 ZigguratSampler.NormalizedGaussian has incorrect Gaussian output
• relates to: RNG-160 Performance of modified Ziggurat samplers