https://github.com/eddelbuettel/rcppziggurat

Rcpp bindings for different Ziggurat RNG implementations
https://github.com/eddelbuettel/rcppziggurat

cran r-package random-number-generators rcpp ziggurat

Last synced: 10 months ago
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Rcpp bindings for different Ziggurat RNG implementations

• Host: GitHub
• URL: https://github.com/eddelbuettel/rcppziggurat
• Owner: eddelbuettel
• License: other
• Created: 2013-10-06T15:29:58.000Z (over 12 years ago)
• Default Branch: master
• Last Pushed: 2025-01-04T15:10:52.000Z (about 1 year ago)
• Last Synced: 2025-03-18T01:11:17.336Z (10 months ago)
• Topics: cran, r-package, random-number-generators, rcpp, ziggurat
• Language: C++
• Size: 1.28 MB
• Stars: 12
• Watchers: 2
• Forks: 4
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • Changelog: ChangeLog
  • License: LICENSE

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README

          

## RcppZiggurat: Rcpp Bindings for Ziggurat RNGs

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### Overview

The RcppZiggurat package regroups a number of implementations of the

'Ziggurat' random number generator by Marsaglia and Tsang (JSS, 2000), both

in the original version and via the update by Leong, Zhang, Lee, Luk and

Villasenor (JSS, 2005).

The purpose of the package is to both study and time these implementations in

order to provide a fast N(0,1) generator for use by R.  The generators

included in R are excellent and very diligently implemented, but not

generally the fastest.  This package aims to close the performance gap.

You should know what you are doing when deploying this package. If in doubt,

stick with the default generators.

### Vignette

 

The package contains a [detailed vignette](http://dirk.eddelbuettel.com/papers/RcppZiggurat.pdf)  summarizing the methods, the

implementation as well as the statistical properties (examined via three

different tests) and the generator speed. 

### Status

The package currently contains six different implementations. Two are

standard from the literature: the original Marsaglia and Tsang approach (which should *not* be 

used as the resulting generator has be improved as suggested by Leong et

al.), the improved Leong et al variant, a version from the GNU GSL, a version

from the GNU Gretl econometric program as well as a version from QuantLib.

### Demo

The package contains several demo scripts. Try

    R> demo(package="RcppZiggurat")

### TODO

More testing never hurts, ...

More generators as e.g. the modified Ziggurat implementation suggested by 

Doornik (though his code is not under an open source licence)

### Author

Dirk Eddelbuettel

### License

GPL (>= 2)