ziggurat, a FORTRAN77 code which rapidly generates random variates from the uniform, normal or exponential distributions, by Marsaglia and Tsang.
The uniform numbers are generated directly. The ziggurat method is used to compute the normal and exponential values.
In the reference, the underlying generators are implemented "inline", invoking a function call only in exceptional cases. This results in very fast execution.
In this implementation, the advantages of inline code are not used. All the routines and inline functions are isolated in a separate file, so that a user invokes them through the familiar library interface.
This code is a translation of software written in C. The C code used unsigned integers for the underlying SHR3 algorithm. The FORTRAN77 code uses signed integers, and for this reason, the FORTRAN77 version of the exponential random number algorithm does not match the C version - that is, for the same initial seed value, different results emerge from the two codes. Whether this seriously affects the validity of the FORTRAN77 results remains to be checked.
The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.
ziggurat is available in a C version and a C++ version and a Fortran90 version and a MATLAB version and an Octave version.
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HALTON, a FORTRAN90 library which computes elements of a Halton quasirandom sequence.
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HEX_GRID_ANGLE, a FORTRAN90 library which computes elements of an angled hexagonal grid dataset.
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LATIN_CENTER, a FORTRAN90 library which computes elements of a Latin Hypercube dataset, choosing center points.
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Original C version by George Marsaglia, Wai Wan Tsang. This version by John Burkardt.