RcppZiggurat 0.1.0 (and 0.1.1): Faster N(0,1) RNGs

December 23, 2013
By

(This article was first published on Thinking inside the box , and kindly contributed to R-bloggers)

Over the last few weeks I have been working on getting the
Ziggurat normal
random number generator updated and available in R.
The Ziggurat generator provides a pretty unique combination of speed and good
statistical properties for (standard) normal random numbers (as opposed to
uniform draws as is commonn for most RNGs).

Generation of N(0,1) draws may not by itself be the dominant slowdown in a
simulation, yet when large number of draws are required it may be helpful to
have a generator that is faster than the defaults in R (which have excellent
properties, but not the fastest speed).

A first release 0.0.1 went to CRAN a
couple of weeks ago. This was followed up by a more thorough release 0.1.0
this last weekend which, as it happens, needed a minor follow-up 0.1.1 to clean up some
dependencies on the right R version, as well as vignette building procedures.

I added a web page about RcppZiggurat
to group together some basic information, but the single best starting point
may be the detailed pdf vignette
included in the package.

Courtesy of CRANberries, there
are diffstat reports for the
most recent release
as well as for the
preceding release two days earlier.

More detailed information is on the RcppZiggurat page.
Questions, comments etc should go to the
rcpp-devel mailing list
off the R-Forge page.

This post by Dirk Eddelbuettel
originated on his Thinking inside the box blog.
Please report excessive re-aggregation in third-party for-profit settings.

To leave a comment for the author, please follow the link and comment on his blog: Thinking inside the box .

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