Patches item #3017462, was opened at 2010-06-17 03:06
Message generated for change (Comment added) made by renorm
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: renorm (renorm)
Assigned to: Nobody/Anonymous (nobody)
Summary: Ziggurat Algorithm (repost)
Initial Comment:
New zip file is attached. The old one had typo.
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>Comment By: renorm (renorm)
Date: 2010-08-03 13:56
Message:
Added specializations of RandomSequenceGenerator, InverseCumulativeRsg and
InverseCumulativeRng to use ZigguratGenerator. New trait
PseudoRandomZiggurat can be used with MC pricing engines. Example program
included.
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Comment By: renorm (renorm)
Date: 2010-06-25 07:12
Message:
I converted normal variates back into uniform 32 bit unsigned integers and
run diehard test on them. All p-values look good. No extreme values suck as
0.9999 or 0.0001. Because of large number of computed p-values (~200),
0.01 (or 0.99) isn't extreme.
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Comment By: renorm (renorm)
Date: 2010-06-25 03:52
Message:
I found another bug, which didn't show up in statistical tests. The
unloaded file contains GSL implementation and Matlab file used to generate
look up tables. For some strange reason GSL implementation uses different
value for the right-most step. My implementation uses the same value as
reported in Marsaglia and Tsang (2000). If you use GSL value in the matlab
file, it fails the diagnostics step.
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