Numerical integration using sequences generating permutations

Authors:
Sofiya Ivanovska;A. Karaivanova;N. Manev
Affiliations:
Institute of Information and Communication Technologies, BAS, Sofia, Bulgaria;Institute of Information and Communication Technologies, BAS, Sofia, Bulgaria;Institute of Mathematics and Informatics, BAS, Sofia, Bulgaria
Venue:
LSSC'11 Proceedings of the 8th international conference on Large-Scale Scientific Computing
Year:
2011

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Abstract

In this paper we propose a new class of pseudo random number generators based on a special linear recursions modulo m. These generators produce sequences which are permutations of the elements of a ℤm. These sequences have been developed for other applications but the analysis of their statistical properties and the experiments described in this paper show that they are appropriate for multiple integration. Here we present some results from numerical tests comparing the performance of the two proposed generators with Mersenne Twister.