ZIGGURAT
Ziggurat Random Number Generator (RNG)

ZIGGURAT is a C++ library 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.

Related Data and Programs:

FAURE, a C++ library which computes elements of a Faure quasirandom sequence.

HALTON, a C++ library which computes elements of a Halton quasirandom sequence.

HAMMERSLEY, a C++ library which computes elements of a Hammersley quasirandom sequence.

IHS, a C++ library which computes elements of an improved distributed Latin hypercube dataset.

NIEDERREITER2, a C++ library which computes elements of a Niederreiter quasirandom sequence with base 2.

NORMAL, a C++ library which computes elements of a sequence of pseudorandom normally distributed values.

RBOX, a C program which generates a set of points in a region, selected at random according to a given distribution.

RNGLIB, a C++ library which implements a random number generator (RNG) with splitting facilities, allowing multiple independent streams to be computed, by L'Ecuyer and Cote.

SOBOL, a C++ library which computes elements of a Sobol quasirandom sequence.

UNIFORM, a C++ library which computes elements of uniform pseudorandom sequence.

VAN_DER_CORPUT, a C++ library which computes elements of a van der Corput quasirandom sequence.

ZIGGURAT_INLINE, a C++ library which implements uniform, normal and exponential random number generators (RNG's) using the ziggurat method, by Marsaglia and Tsang. In this version, the underlying generators are implemented inline, for increased speed.

ZIGGURAT_OPENMP, a C++ program 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:

• ziggurat.cpp, the source code.
• ziggurat.hpp, the include file.

Examples and Tests:

• ziggurat_test.cpp a sample calling program.
• ziggurat_test.txt, the output file.

List of Routines:

• CONG_SEEDED evaluates the CONG congruential random number generator.
• CPU_TIME returns the current reading on the CPU clock.
• KISS_SEEDED evaluates the KISS random number generator.
• MWC_SEEDED evaluates the MWC multiply-with-carry random number generator.
• R4_EXP returns an exponentially distributed single precision real value.
• R4_EXP_SETUP sets data needed by R4_EXP.
• R4_NOR returns a normally distributed single precision real value.
• R4_NOR_SETUP sets data needed by R4_NOR.
• R4_UNI returns a uniformly distributed real value.
• SHR3_SEEDED evaluates the SHR3 generator for integers.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

You can go up one level to the C++ source codes.