SQL Server, Analytics, .Net, Machine Learning, R, Python
Mitch Wheat has been working as a professional programmer since 1984, graduating with a honours degree in Mathematics from Warwick University, UK in 1986. He moved to Perth in 1995, having worked in software houses in London and Rotterdam. He has worked in the areas of mining, electronics, research, defence, financial, GIS, telecommunications, engineering, and information management. Mitch has worked mainly with Microsoft technologies (since Windows version 3.0) but has also used UNIX. He holds the following Microsoft certifications: MCPD (Web and Windows) using C# and SQL Server MCITP (Admin and Developer). His preferred development environment is C#, .Net Framework and SQL Server. Mitch has worked as an independent consultant for the last 10 years, and is currently involved with helping teams improve their Software Development Life Cycle. His areas of special interest lie in performance tuning
Monday, November 20, 2006
Lousy Random Number Generators
Over at Jeff Atwood’s blog, Coding Horror, I noticed a nice round-up of random number generation. I tried to post a quick comment but it kept being rejected so I’ve blogged it here instead.
Anyone interested in a small but 'highly' random generator that suffers from few points of failure should check out the mersenne twister pseudo-random number generator algorithm. This work is fairly recent (1998). I believe it has been implemented in the .NET framework?
The problem that plagues most generators occurs when you require a huge set of random numbers for large simulations (such as Monte Carlo simulations, for instance).
A word of advice: never, never attempt to roll your own generator or ‘improve’ an existing one. The results will be at best less than random, and at worst dangerous! It’s in the same sin category as using Bubble Sort. A most heinous crime!
http://www.bedaux.net/mtrand/ includes a reference to the original paper.
Bruce Schneier's book Applied Cryptography (John Wiley & Sons, 1994) is a great place to start if you are interested in random numbers from the point of view of cryptography.
MSN, Email: mitch døt wheat at gmail.com