Mon, 23 Dec 2013

RcppZiggurat 0.1.0 (and 0.1.1): Faster N(0,1) RNGs

Over the last few weeks I have been working on getting the Ziggurat normal random number generator updated and available in R. The Ziggurat generator provides a pretty unique combination of speed and good statistical properties for (standard) normal random numbers (as opposed to uniform draws as is commonn for most RNGs).

Generation of N(0,1) draws may not by itself be the dominant slowdown in a simulation, yet when large number of draws are required it may be helpful to have a generator that is faster than the defaults in R (which have excellent properties, but not the fastest speed).

A first release 0.0.1 went to CRAN a couple of weeks ago. This was followed up by a more thorough release 0.1.0 this last weekend which, as it happens, needed a minor follow-up 0.1.1 to clean up some dependencies on the right R version, as well as vignette building procedures.

I added a web page about RcppZiggurat to group together some basic information, but the single best starting point may be the detailed pdf vignette included in the package.

Courtesy of CRANberries, there are diffstat reports for the most recent release as well as for the preceding release two days earlier.

More detailed information is on the RcppZiggurat page. Questions, comments etc should go to the rcpp-devel mailing list off the R-Forge page.

This post by Dirk Eddelbuettel originated on his Thinking inside the box blog. Please report excessive re-aggregation in third-party for-profit settings.

/code/rcpp | permanent link