SIMD-oriented Fast Mersenne Twister (or any other fast rng) for Monte Carlo?

2 次查看（过去 30 天）
Ephedyn
Ephedyn 2012-9-26
Is there a faster PRNG for MATLAB that is suitable for Monte Carlo simulations, besides the Mersenne twister? For example, a MEX implementation of the SFMT (successor to the Mersenne twister) (as found on http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/SFMT/)?
I am finding ways to speed up my Monte Carlo simulations, which are making a huge number of nested calls to randn.

请先登录，再回答此问题。

回答（0 个）

类别

在 Help Center 和 File Exchange 中查找有关 Random Number Generation 的更多信息

标签

产品

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by