Class MersenneTwister
 java.lang.Object

 com.opengamma.strata.math.impl.cern.RandomEngine

 com.opengamma.strata.math.impl.cern.MersenneTwister

 All Implemented Interfaces:
Serializable
,Cloneable
,DoubleUnaryOperator
,IntUnaryOperator
 Direct Known Subclasses:
MersenneTwister64
public class MersenneTwister extends RandomEngine
MersenneTwister (MT19937) is one of the strongest uniform pseudorandom number generators known so far; at the same time it is quick. Produces uniformly distributed int's and long's in the closed intervals [Integer.MIN_VALUE,Integer.MAX_VALUE] and [Long.MIN_VALUE,Long.MAX_VALUE], respectively, as well as float's and double's in the open unit intervals (0.0f,1.0f) and (0.0,1.0), respectively. The seed can be any 32bit integer except 0. Shawn J. Cokus commented that perhaps the seed should preferably be odd.Quality: MersenneTwister is designed to pass the kdistribution test. It has an astronomically large period of 2^{19937}1 (=10^{6001}) and 623dimensional equidistribution up to 32bit accuracy. It passes many stringent statistical tests, including the diehard test of G. Marsaglia and the load test of P. Hellekalek and S. Wegenkittl.
Performance: Its speed is comparable to other modern generators (in particular, as fast as java.util.Random.nextFloat()). 2.5 million calls to raw() per second (Pentium Pro 200 Mhz, JDK 1.2, NT). Be aware, however, that there is a nonnegligible amount of overhead required to initialize the data structures used by a MersenneTwister. Code like
double sum = 0.0; for (int i=0; i<100000; ++i) { RandomElement twister = new MersenneTwister(new java.util.Date()); sum += twister.raw(); }
will be wildly inefficient. Consider usingdouble sum = 0.0; RandomElement twister = new MersenneTwister(new java.util.Date()); for (int i=0; i<100000; ++i) { sum += twister.raw(); }
instead. This allows the cost of constructing the MersenneTwister object to be borne only once, rather than once for each iteration in the loop.Implementation: After M. Matsumoto and T. Nishimura, "Mersenne Twister: A 623Dimensionally Equidistributed Uniform PseudoRandom Number Generator", ACM Transactions on Modeling and Computer Simulation, Vol. 8, No. 1, January 1998, pp 330.
 More info on Masumoto's homepage.
 More info on Pseudorandom number generators is on the Web.
 Yet some more info.
The correctness of this implementation has been verified against the published output sequence mt199372.out of the Cimplementation mt199372.c. (Call test(1000) to print the sequence).
 Note that this implementation is not synchronized.
Details: MersenneTwister is designed with consideration of the flaws of various existing generators in mind. It is an improved version of TT800, a very successful generator. MersenneTwister is based on linear recurrences modulo 2. Such generators are very fast, have extremely long periods, and appear quite robust. MersenneTwister produces 32bit numbers, and every kdimensional vector of such numbers appears the same number of times as k successive values over the period length, for each k <= 623 (except for the zero vector, which appears one time less). If one looks at only the first n <= 16 bits of each number, then the property holds for even larger k, as shown in the following table (taken from the publication cited above):
n123456789101112 .. 1617 .. 32k1993799686240498437383115249324921869186912481246623MersenneTwister generates random numbers in batches of 624 numbers at a time, so the caching and pipelining of modern systems is exploited. The generator is implemented to generate the output by using the fastest arithmetic operations only: 32bit additions and bit operations (no division, no multiplication, no mod). These operations generate sequences of 32 random bits (int's). long's are formed by concatenating two 32 bit int's. float's are formed by dividing the interval [0.0,1.0] into 2^{32} sub intervals, then randomly choosing one subinterval. double's are formed by dividing the interval [0.0,1.0] into 2^{64} sub intervals, then randomly choosing one subinterval.
 Version:
 1.0, 09/24/99
 See Also:
Random
, Serialized Form


Field Summary
Fields Modifier and Type Field Description static int
DEFAULT_SEED

Constructor Summary
Constructors Constructor Description MersenneTwister()
Constructs and returns a random number generator with a default seed, which is a constant.MersenneTwister(int seed)
Constructs and returns a random number generator with the given seed.MersenneTwister(Date d)
Constructs and returns a random number generator seeded with the given date.

Method Summary
All Methods Instance Methods Concrete Methods Modifier and Type Method Description Object
clone()
Returns a copy of the receiver; the copy will produce identical sequences.protected void
nextBlock()
Generates N words at one time.int
nextInt()
Returns a 32 bit uniformly distributed random number in the closed interval [Integer.MIN_VALUE,Integer.MAX_VALUE] (including Integer.MIN_VALUE and Integer.MAX_VALUE).protected void
setSeed(int seed)
Sets the receiver's seed.
Methods inherited from class com.opengamma.strata.math.impl.cern.RandomEngine
applyAsDouble, applyAsInt, makeDefault, nextDouble, nextFloat, nextLong, raw

Methods inherited from class java.lang.Object
equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Methods inherited from interface java.util.function.DoubleUnaryOperator
andThen, compose

Methods inherited from interface java.util.function.IntUnaryOperator
andThen, compose




Field Detail

DEFAULT_SEED
public static final int DEFAULT_SEED
 See Also:
 Constant Field Values


Constructor Detail

MersenneTwister
public MersenneTwister()
Constructs and returns a random number generator with a default seed, which is a constant. Thus using this constructor will yield generators that always produce exactly the same sequence. This method is mainly intended to ease testing and debugging.

MersenneTwister
public MersenneTwister(int seed)
Constructs and returns a random number generator with the given seed. Parameters:
seed
 the seed

MersenneTwister
public MersenneTwister(Date d)
Constructs and returns a random number generator seeded with the given date. Parameters:
d
 typically new java.util.Date()


Method Detail

clone
public Object clone()
Returns a copy of the receiver; the copy will produce identical sequences. After this call has returned, the copy and the receiver have equal but separate state. Returns:
 a copy of the receiver.

nextBlock
protected void nextBlock()
Generates N words at one time.

nextInt
public int nextInt()
Returns a 32 bit uniformly distributed random number in the closed interval [Integer.MIN_VALUE,Integer.MAX_VALUE] (including Integer.MIN_VALUE and Integer.MAX_VALUE). Specified by:
nextInt
in classRandomEngine
 Returns:
 the random number

setSeed
protected void setSeed(int seed)
Sets the receiver's seed. This method resets the receiver's entire internal state. Parameters:
seed
 the seed

