*Note that this has been integrated, in a more polished rewrite by
Paul Kienzle, into Octave-Forge.*
## Overview

The file randmt.cc provides three
new commands for GNU Octave:`randmt` to generate U(0,1) random
numbers, `randmtn` to generate N(0,1) random numbers, and
`randmtseed` to set the seed of the generator.

The actual ANSI C implementation of the RNG is provided by the file cokus.c (also included in the tarball),
written by Shawn Cokus.
This is an improved implementation of the very long period, fast, and
memory-efficient Mersenne Twister Random Number Generator by Makoto
Matsumoto and Takuji Nishimura. This random number generator uses a
twisted generalized feedback shift-register algorithm which has a
Mersenne prime period of 2^19937 - 1, or about 10^6000, and is
equi-distributed in 623 dimensions. It has passed the `DIEHARD'
statistical tests by Marsaglia, but is also extremely fast and
efficient in terms of memory usage. The code has been tested on 32bit
(i386) and 64bit (alpha) versions of Linux.

Beyond the actual MT implementation by Shawn Cokus, one routine from the
RANDLIB library (Brown, Lovato, Russell, Venier, 1997, available at MDACC) was used to tranform
uniform into standard normal deviates. This is the Ahrens and Dieter (1973)
algorithm. I have simply combined the pieces, and provided simple C++
wrappers so that Octave can access this code. Also included are a Makefile,
and a simple Octave script to time the MT RNG against Octave's default RNG
from RANDLIB.

Provided `mkoctfile` is in your PATH, you can just type
`make` to build the Octave modules `randmt.oct`,
`randmtn.oct`, and `randmtseed.oct`. The `compare_rngs.m'
Octave script can be used to time this RNG against the default RNG.

This package is released under the GNU GPL just like Octave, the MT and RANDLIB.

Download code.

## Speed comparison

To give a rough idea of the speed improvement, consider the following
simple program which times
Octave's standard RNG, and the Mersenne Twister.

## Reference

This RNG is fully documented at the Mersenne
Twister RNG page, and the following paper provides the technical details:

@Article{Matsumoto_Nishimura98,
author = {Makoto Matsumoto and Takuji Nishimura},
title = {Mersenne Twister: A 623-dimensionally
equidistributed uniform
pseudorandom number generator},
journal = {ACM Transactions on Modeling and
Computer Simulation},
year = 1998,
volume = 8,
number = 1,
pages = {3-30},
note = {Code and information available at
\url{http://www.math.keio.ac.jp/matumoto/emt.html}}
}

Last modified: Sat May 31 22:19:17 CDT 2003