[Numpy-discussion] Suggestion: Port Theano RNG implementation to NumPy
sturla.molden at gmail.com
Tue Feb 18 10:50:04 EST 2014
AFAIK, CMRG (MRG31k3p) is more equidistributed than Mersenne Twister, but
the period is much shorter. However, MT is getting acceptance as the PRNG
of choice for numerical work. And when we are doing stochastic simulations
in Python, the speed of the PRNG is unlikely to be the bottleneck.
Frédéric Bastien <nouiz at nouiz.org> wrote:
> In a ticket I did a coment and Charles suggested that I post it here:
> In Theano we have an C implementation of a faster RNG: MRG31k3p. It is
> faster on CPU, and we have a GPU implementation. It would be
> relatively easy to parallize on the CPU with OpenMP.
> If someone is interested to port this to numpy, their wouldn't be any
> dependency problem. No license problem as Theano license have the same
> license as NumPy.
> The speed difference is significant, but I don't recall numbers.
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