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D.J. Medeiros, E.F. Watson, J.S. Carson and M.S. Manivannan, eds.
Pierre L’Ecuyer
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L’Ecuyer
of partitions of [0, 1)t into rectangular boxes (not only so even an algorithm working in time O(n) for n points
cubic boxes). See Niederreiter (1992b) and Owen (1998) is not good enough.
for details and references. Explicit constructions and
implementations of ME RNGs are available (L’Ecuyer 1.5 Spectral Analysis
1996b; L’Ecuyer 1998e). The construction of large-period
RNGs whose point sets are (t, m, s)-nets is still a matter A general approach for comparing a given density f1
of current investigation. to the uniform density f0 over [0, 1)t goes as follows.
Choose an orthonormal basis for a space F of functions
f : [0, 1)t → IR (or perhaps f : [0, 1)t → C C, the complex
1.3 Figures of Merit in Large Dimensions
numbers), such that both f0 and f1 are in F. Then expand
For finite point sets, t-distribution is an interesting concept f0 and f1 in terms of this orthonormal basis and compare
only in relatively small dimensions. For t such that the coefficients. This is the general idea of Fourier analysis
mt ρ, Ψt can cover only a tiny fraction of ZZtm /m. (e.g., Folland 1992).
When the seed s0 is random, Ψt can be viewed in a way As an illustration, consider the Fourier basis B =
as the sample space from which the output vectors un,t are {ψh , h ∈ ZZt }, where ψh (u) = e(h · u), e : IR → C C is the
taken, without replacement. It thus makes sense to require complex
√ trigonometric function e(x) = exp(2πιx), and
that Ψt be “evenly” or “uniformly” distributed over the ι = −1. This B is a basis for the space of square-
unit hypercube [0, 1)t , in some sense. There are several integrable functions over [0, 1)t . The Fourier expansion
ways of measuring this uniformity by figures of merit. of f in terms of B is
Perhaps the single most important factor in the choice of X
a figure of merit is the ability to compute it efficiently. f (u) = fˆ(h)ψh (u), (1)
As a result, different families of RNGs are analyzed in Zt
h∈Z
practice using different figures of merit. Some may argue R
that the points of Ψt should look like random points over with Fourier coefficients fˆ(h) = f (u)ψh (−u)du.
[0,1)t
ZZtm /m instead of being too evenly distributed. But if Ψt A probability density over [0, 1) always has fˆ(0) = 1, and
t
is viewed as a (huge) sample space from which points the uniform density f0 has Fourier coefficients fˆ0 (h) = 0
are taken at random without replacement, a superuniform for all h 6= 0. Therefore, one way to test whether f1 is
(i.e., very even) distribution of Ψt seems justified. close to uniform is to test its Fourier coefficients fˆ1 (h)
for h 6= 0. Of course, this can also be done with other
1.4 Discrepancy bases; see, e.g., Hellekalek (1998b).
For a given point set Ψt = {u0,t , . . . , un−1,t } in
The discrepancy of a point set Ψt ⊂ [0, 1)t refers to a
[0, 1)t , one can estimate the coefficients fˆ(−h) by the
measure of departure between the empirical distribution
exponential (Weyl) sums
of Ψt and the uniform distribution. There is an infinite
number of ways of defining such a measure. For example, n−1
1X
for each rectangular box B ⊆ [0, 1]t with one corner at Sn (h) = e(h · uj,t ). (2)
the origin, compute the absolute difference between the n j=0
fraction of Ψt falling in B and the volume of B, and
take the supremum over the set of all such boxes B. If we want Ψt to be uniform, the Sn (h) must be close
This is the “standard” star discrepancy. More generally, to zero for h 6= 0. Since the high-amplitude low-
if one replaces the supremum by the Lp -average over all frequency variations are usually more damaging than the
boxes, where the upper corner of the box is uniformly high-frequency variations, it is customary to give more
distributed in [0, 1]t , this gives the Lp star discrepancy weight to the former, i.e., to the small vectors h. This
(the standard case corresponds to p = ∞). By removing motivates measures of discrepancy that are weighted sums
the condition that the lower corner is at the origin and (or supremums) of increasing functions of the |Sn (h)|, as
taking the average over all boxes B ⊆ [0, 1]t , one obtains explained, e.g., by Hellekalek (1998b, 1999), Hellekalek
the unanchored Lp discrepancy. More general regions B and Niederreiter (1998), Hickernell (1999), and Leeb and
can be considered, such as all convex sets, and so on. Hellekalek (1998).
We refer to Hickernell (1999) and Niederreiter (1992a) A special case of this is
for more details. A major problem with most of these
sup = |Sn (h)|/khk2 , (3)
definitions is that no efficient algorithm is available to Zt
06=h∈Z
compute the value of the discrepancy for the large point
sets Ψt that are required (we believe) for good RNGs. where k · k2 is the Euclidean norm, and it corresponds
Here, we are thinking of period lengths of 2100 or more, to the spectral test originally proposed by Coveyou
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Uniform Random Number Generators
and MacPherson (1967) and commonly applied to linear memory may also be important when virtual generators
congruential and multiple recursive generators. For these (or substreams) are maintained in parallel. This is
generators, this spectral test can be applied even for required, for example, for the implementation of certain
astronomical sizes of Ψt (e.g., over 21000 ) by exploiting variance reduction techniques. Portability means that the
the lattice structure (see Section 4). generator can be implemented easily in a standard high-
level language, and produce the same sequence with a
1.6 Statistical Tests wide range of compilers and computers. Repeatability,
i.e., being able to reproduce the same sequence all over
After an RNG has been designed and implemented, again, is important for program verification and for variance
empirically-minded people want to “test it on the road” reduction. This is a major advantage of RNGs over random
by applying statistical tests. numbers generated by physical devices. Jumping ahead
Optimists may be looking for the ultimate RNG, which means the ability to quickly compute, given the current
runs fast and passes all statistical tests. But such an object state sn , the state sn+ν for any large ν. This is useful for
does not exist. To understand why, suppose that the output breaking up the sequence into long disjoint substreams.
space is finite, with cardinality |U |, and consider the tests The packages of L’Ecuyer and Côté (1991) and L’Ecuyer
that look at n successive output values, for some fixed and Andres (1997) offer software tools to manipulate such
n. For a fixed α, 0 < α < 1, a test of level α is any substreams.
function Tn : U n → {0, 1} such that |Tn−1 (0)| = α|U |n
(assumed to be an integer, to simplify). The test rejects H0
2 LINEAR RECURRENCES
when Tn maps the observed sequence to 0. The number
of such tests is the number of ways of choosing α|U |n A multiple recursive generator (MRG) is defined by the
objects among |U |n . A key observation here is that every recurrence
sequence of n elements from U is mapped to 0 by the
same number of tests Tn . In other words, all sequences xn = (a1 xn−1 + · · · + ak xn−k ) mod m; (4)
(or generators) fail exactly the same number of tests. See un = xn /m. (5)
Leeb 1995 and Wegenkittl (1995) for more about this.
Statistical testing of RNGs is thus meaningless unless The modulus m and the order k are positive integers,
the tests are not all considered on equal footing. For large the coefficients ai belong to ZZm = {0, 1, . . . , m − 1}, and
n, the number of tests is in fact incredibly huge and most the state at step n is sn = (xn−k+1 , . . . , xn ). For prime
of them are so complicated that they cannot be run on m and properly chosen ai ’s, the sequence has maximal
a computer in our lifetime. Then we can say that a bad period length ρ = mk − 1. This can be achieved with only
RNG is one that fails simple tests, and a good RNG is two non-zero ai ’s (Knuth 1997; L’Ecuyer 1998b), i.e.,
one that fails only complicated tests that are hard to find.
In practice, batteries of more or less natural tests are xn = (ar xn−r + ak xn−k ) mod m. (6)
applied to RNGs, and systematic failures reveal defects
in the structure of the RNG. No amount of testing can This economical version makes the implementation faster.
prove that a given RNG is flawless. It only improves our The classical linear congruential generator (LCG) corre-
confidence to a certain extent. sponds to k = 1.
Ideally, the statistical tests should be selected in close A key issue for the computer implementation of
relation with the target application, i.e., be based on a the MRG is how to compute efficiently the products
test statistic T that closely mimics the random variable ax mod m when m is large. We mention three of
of interest. But this is usually impractical, especially the most useful approaches for this. In general, when
when designing and testing generators for general purpose searching for MRGs with good theoretical behavior, one
software packages. For a sensitive application, it is highly would search only in areas where the MRG coefficients
recommended that the user tests the RNG specifically for ai satisfy the conditions for one of these implementation
his (or her) problem, or tries RNGs from totally different techniques. A first approach uses integer arithmetic and
classes and compares the results. we call it approximate factoring; see Bratley, Fox, and
Schrage (1987), L’Ecuyer and Côté (1991) for details. It
works if a2 < m or if a = bm/ic where i2 < m, and if all
1.7 Additional Requirements
integers between −m and m are well represented on the
A long period, good structure of Ψt , and passing reasonable computer. A second approach computes the product and the
statistical tests, are not the only requirements. For division (for the mod operation) directly in floating-point
simulations involving billions of random numbers, the arithmetic. On computers that follow the IEEE 64-bit
generator’s speed can be critical. The size of required floating-point standard (most computers nowadays), all
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L’Ecuyer
integers up to 253 are represented exactly in floating point, appropriately. When (6) and (8) are used with m = 2,
and the floating-point implementation works if am < 253 . we obtain the generalized feedback shift register (GFSR)
See L’Ecuyer (1998a) for details and examples. A third generator (Fushimi and Tezuka 1983; Fushimi 1989),
approach, recently proposed by Wu (1997), assumes that usually expressed as
a is a sum or a difference of a few (say, 2 or 3) powers of
2. The product ax can then be decomposed into a sum of Xn = Xn−r ⊕ Xn−k , (9)
products by powers of 2, which are implemented as left
shifts on the computer. A little additional gymnastic takes where Xn = (x1,n , . . . , xL,n ) and where ⊕ denotes the
care of the modulo operation. Wu assumes m = 231 − 1, bitwise exclusive-or.
but his method can be generalized to other values of m A generalization of (9) is the lagged-Fibonacci gener-
as well. Construction of “good” generators of this type is ator, where the bitwise ⊕ can be replaced by an arbitrary
under way. The second and third approach appear to be arithmetic or logical operation, such as +, −, etc., not
the most efficient on today’s computers. necessarily bitwise. A popular one is the additive generator
Taking m equal to a power of 2 in the MRG simplifies (Knuth 1997):
the implementation, but leads to a much shorter period than
Xn = (Xn−r + Xn−k ) mod m, (10)
a prime m (for k > 1) and to major deficiencies (L’Ecuyer
1990, 1998b). This is a bad idea. But a modification of where m = 2L . It is a special case of the MRG with
the MRG, with a carry or a borrow, permits one to use a a power-of-two modulus. Slight variations of it are the
power-of-2 modulus while keeping a long period and the add-with-carry (AWC) and subtract-with-borrow (SWB)
potential for good properties (Couture and L’Ecuyer 1995, of Marsaglia and Zaman (1991), which are also special
1997; Marsaglia 1994). The resulting Multiply-with-Carry cases of the MWC. However, the additive, AWC, and
(MWC) generator turns out to be approximately equivalent SWB generators share an important deficiency: All triples
to an LCG with a large modulus and can be analyzed much of the form (un , un+k−r , un+k ) for the additive generator,
in the same way as LCGs from the structural viewpoint. and (un , un+r , un+k ) for the AWC/SWB, for n ≥ 0, lie
In (5), each output value is a multiple of 1/m. To in only two planes in the three-dimensional unit cube (see
reduce the discretization error, one may construct each un L’Ecuyer 1997).
from several xj ’s, i.e.,
In a series of papers, M. Matsumoto and his co-authors
L have proposed a nice class of modifications of the GFSR,
X
un = xns+j−1 m−j , (7) which they call the twisted GFSR. Their modifications
j=1 increase the period length of the GFSR from 2k − 1 to
2kL −1, when using kL bits for the state, and improves the
where s and L ≤ k are positive integers. If (4) has period structural properties in a significant way. See Matsumoto
ρ and gcd(ρ, s) = 1, (7) has period ρ as well. The digital and Kurita (1994) and Matsumoto and Nishimura (1998)
expansion (7) allows smaller m, even m = 2. For m = 2, for details. The multiple recursive matrix method of
un is constructed from L successive bits of the binary Niederreiter (1995a) provides a general framework that
sequence (4), with spacings of s − L bits between the encompasses many of these modifications and variants as
blocks, and the resulting RNG is called a linear feedback special cases.
shift register (LFSR) or Tausworthe generator (Knuth 1997;
Niederreiter 1992b; Tausworthe 1965). Its implementation
3 COMBINED GENERATORS
is discussed by Bratley, Fox, and Schrage (1987), Fishman
(1996), L’Ecuyer (1996b), and Tezuka (1995). Combining different recurrences can increase the period
One can also use L copies of (4) in parallel, with length and improve the structural properties of generators
different seeds, and use one copy for each digit of the (Knuth 1997; L’Ecuyer 1994; Marsaglia 1985; Tezuka
fractional expansion of un . If {xj,n } is the jth copy and 1995; Wang and Compagner 1993). But it can also
if xj,n = xn+dj for all j and n, then (conceivably) make things worse. So it is important
L L to understand what we are doing from the theoretical
X X
un = xj,n m−j = xn+dj m−j . (8) viewpoint when we combine generators. Combined MRGs
j=1 j=1
and combined LFSR generators are two classes which have
been well analyzed in recent years.
If dj = (j − 1)d for some integer d and if gcd(d, ρ) = 1, To combine LFSR generators, one can take several
then n+dj = n+(j −1)d = (ns+j −1)d and (8) becomes full-period LFSR components whose period lengths are
equivalent to (7) if we replace {xn } by {yn = xnd }, relatively prime to each other, and add their outputs bitwise
which is accomplished by changing the coefficients of (4) modulo 2 (i.e., by exclusive or). The result is another
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Uniform Random Number Generators
LFSR generator whose period length is the product of and more efficiently for special classes of generators. Their
the periods of its components, and whose structure can results imply, for instance, the bad structure (which we
be analyzed theoretically just like that of a single LFSR already mentioned) of certain triples from the AWC/SWB,
generator. GFSR and twisted GFSR generators can be and additive or subtractive lagged-Fibonacci generators.
combined in a similar way. Several combined LFSR Entacher (1998) exhibits bad values of dt (I) for some
generators which have the ME property (defined in section popular LCGs.
1) are listed in L’Ecuyer (1996b, 1998e), together with Computing dt is called the spectral test. Why?
fast computer codes. Getting back to the spectral analysis of Section 1.5, it
MRGs can be combined in a similar way by adding turns out that if Ψt = Lt ∩ [0, 1)t , the Weyl sums become
their outputs modulo 1, or using a slightly different com- Sn (h) = 1 if h ∈ L∗t and Sn (h) = 0 otherwise, where
bination variant (L’Ecuyer 1996a). Again, the combined L∗t = {h ∈ IRt : h · u ∈ ZZ for all u ∈ Lt } is the dual
generator is another MRG with very large period (up to lattice to Lt . It is also known (Dieter 1975; Knuth
the product of the periods of the components, divided by 1997) that dt = max{1/khk2 : 0 6= h ∈ L∗t }, which is
2J−1 if there are J components) and large modulus (the (3). Computing dt amounts to solving a quadratic integer
product of the individual moduli). optimization problem. An implementation is described in
In those two cases, combination can be seen as a L’Ecuyer and Couture (1997).
way of implementing efficiently some RNGs with huge
period lengths. Another important advantage is that the
RNG can be designed so that the individual components 5 NONLINEAR GENERATORS
are implemented very efficiently (e.g., have several zero
coefficients), whereas the combination has a complicated Arguing that the point structure produced by linear
recurrence and excellent structural properties. sequences is too regular, some prefer nonlinear generators
(Eichenauer-Herrmann 1995; Eichenauer-Herrmann and
Herrmann 1997; Hellekalek 1995; Niederreiter 1992b;
4 LATTICE STRUCTURE
Niederreiter 1995b). Nonlinearity can be introduced
For the MRG (4–5), the set Ψt turns out to be equal to by either using a linear transition function f with a
the intersection of a lattice Lt with [0, 1)t . This means nonlinear output function g, or using a nonlinear recurrence.
that Lt is the set of all integer linear combinations of t Nonlinear generators are used (and essentially required)
independent vectors in IRt . This also implies that Lt lies in the area of cryptology. See, e.g., Blum, Blum, and
on a limited number of equidistant parallel hyperplanes, Schub (1986), Knuth (1997), Lagarias (1993), L’Ecuyer
at a distance dt apart (Knuth 1997). For Ψt to be evenly and Proulx (1989). Under reasonable assumptions, they
distributed over [0, 1)t , dt should be small. are provably better than the linear ones, but only in an
One can choose a constant t1 > k and define the asymptotic sense (as the size of the state space grows to
figure of merit infinity).
Mt1 = min d∗t /dt , For equal period lengths, the nonlinear generators
t≤t1 actually do much better than the linear ones with respect
where d∗t is an absolute lower bound on dt , given k to the usual statistical tests (Hellekalek 1995; L’Ecuyer
and t (see L’Ecuyer 1998d). We seek an Mt1 close 1998c; L’Ecuyer and Hellekalek 1999; Leeb and Wegenkittl
to 1. L’Ecuyer (1998d) has computed tables of “good” 1997). But they are also much slower. At a running speed
LCGs based on M8 , M16 , and M32 , for a wide range of comparable to that of an acceptable nonlinear RNG, one
values of m. L’Ecuyer (1998a) provides combined MRGs can find linear generators with period lengths well over
selected via these figures of merit, together with computer 2200 , and which pass all the standard empirical tests.
implementations.
One may also consider vectors of non-successive
output values of an RNG. For a fixed set of non-negative 6 STATISTICAL TESTS
integers I = {i1 , i2 , · · · , it }, put
Traditionally, applying statistical tests to an RNG has
Ψt (I) = {(ui1 +n , . . . , uit +n ) | n ≥ 0, been much like a fishing expedition: Try a number of
s0 = (x0 , . . . , xk−1 ) ∈ ZZkm }, tests with arbitrary parameter values, and “take a picture”
when the RNG fails a test badly. Recently, the author
and let dt (I) be the distance between successive hyper- undertook a project where we try to better understand the
planes in the lattice generated by Ψt (I) and ZZkm /m. interaction between specific RNG families and certain
Couture and L’Ecuyer (1994, 1996) and L’Ecuyer and empirical tests. Preliminary results are presented in
Couture (1997) discuss how to compute dt (I) in general, L’Ecuyer and Hellekalek (1999).
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Uniform Random Number Generators
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Marsaglia, G. 1994. Yet another rng. Posted to the was then a professor with the Computer Science Department
electronic billboard sci.stat.math, August 1. at Laval University, Quebec, until 1990, and since then
Marsaglia, G. and A. Zaman. 1991. A new class of he is at the University of Montreal. He obtained the
random number generators. The Annals of Applied E. W. R. Steacie grant from the Natural Sciences and
Probability, 1:462–480. Engineering Research Council of Canada for 1995–97.
Matsumoto, M. and Y. Kurita. 1994. Twisted GFSR His main research topics are uniform random number
generators II. ACM Transactions on Modeling and generation, efficiency improvement, sensitivity analysis,
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twister: A 623-dimensionally equidistributed uniform Simulation and was the Departmental Editor for the
pseudo-random number generator. ACM Transactions Simulation Department of Management Science for 1993–
on Modeling and Computer Simulation, 8(1):3–30. 98. You can find more at:
Niederreiter, H. 1992a. New methods for pseudorandom www.iro.umontreal.ca/∼lecuyer.
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AUTHOR’S BIOGRAPHY
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