AnchorPower is a very fast, simple and general random number generation method based on Inverse Transform and Taylor Series. It outperforms many excellent implementations, including Intel VSL, GSL and UNU, with particularly wide margin for Gamma, Beta.
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A C programming interface has been created to allow any C/C++ application program to take advantage of the phenomenal performance of the AnchorPower method for generating non-uniform random numbers. The Intel Compiler requirement has been removed without any impact on performance. This should allow lot more users to utilize this tool.
As of this latest release, AnchorPower demonstrates truly impressive performance. When pitch against the very fast and very optimized random number generators from the Intel Vector Statistical Library (probably the fastest implementation currently available on Intel processors), AnchorPower shows a speed advantage for every distribution tested. Furthermore, for the important Gamma and Beta distributions, the speed advantage is a factor of 4 to 6. For people who are interested in Monte Carlo simulation, you really want to download and take a look at this release.
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