an:05807181
Zbl 1197.65009
Ladd, Anthony J. C.
A fast random number generator for stochastic simulations
EN
Comput. Phys. Commun. 180, No. 11, 2140-2142 (2009).
00269042
2009
j
65C10
random number generators
Summary: A discrete random number (DRN) generator for stochastic differential equations is proposed. The generator has exactly 8 states and thus 10 DRN's can be obtained from a single 32-bit random variable. This is advantageous when large numbers of DRN's are needed, as for example in fluctuating lattice-Boltzmann models. The moments of the discrete distribution match those of a Gaussian distribution (zero mean and unit variance) up to 5th order. Numerical tests show that satisfactory statistical properties can be obtained with several 32-bit pseudo random number (PRN) generators.