Some comments on C. S. Wallace's random number generators

TL;DR

This paper reviews Chris Wallace's contributions to pseudo-random number generation, focusing on a novel method for generating normal variates efficiently and comparing it with traditional techniques.

Contribution

It introduces Wallace's innovative approach for generating normal variates without uniform sources and discusses its implementation and statistical quality.

Findings

Wallace's method can be as fast as conventional uniform generators.

The statistical quality of Wallace's normal variates is comparable to traditional methods.

Potential pitfalls in implementation can be avoided with proper techniques.

Abstract

We outline some of Chris Wallace's contributions to pseudo-random number generation. In particular, we consider his idea for generating normally distributed variates without relying on a source of uniform random numbers, and compare it with more conventional methods for generating normal random numbers. Implementations of Wallace's idea can be very fast (approximately as fast as good uniform generators). We discuss the statistical quality of the output, and mention how certain pitfalls can be avoided.