ziggurat


ziggurat, a C++ code which 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 inline version, 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.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

ziggurat is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

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ziggurat_test

ziggurat_inline, a C++ code which generates variates from the uniform, normal or exponential distributions, using an inline random number generator for very fast execution, by Marsaglia and Tsang.

ziggurat_openmp, a C++ code which demonstrates how the ziggurat() library can be used to generate random numbers in an OpenMP parallel program.

Author:

George Marsaglia, Wai Wan Tsang.

Reference:

  1. Philip Leong, Guanglie Zhang, Dong-U Lee, Wayne Luk, John Villasenor,
    A comment on the implementation of the ziggurat method,
    Journal of Statistical Software,
    Volume 12, Number 7, February 2005.
  2. George Marsaglia, Wai Wan Tsang,
    The Ziggurat Method for Generating Random Variables,
    Journal of Statistical Software,
    Volume 5, Number 8, October 2000, seven pages.

Source Code:


Last revised on 05 April 2020.