The Mersenne Twister random number generator

 

ModelRisk and Tamara uses the Mersenne Twister to generate random numbers for its simulation functions.

Mersenne Twister is a pseudo-random number generating algorithm developed by Makoto Matsumoto and Takuji Nishimura in 1997 and refined in 2002. It has passed all of the most rigorous random number tests and registered a very significant improvement over all previous generators.

The Mersenne Twister has the following merits:

  • It is designed with consideration on the flaws of various existing generators;

  • It offers a far longer period and far higher order of equidistribution1 than any other implemented generators. (It has been proven that the period is (2^19937)-1, and 623-dimensional equidistribution property is assured);

  • Fast generation. It is as fast as the standard ANSI-C library in a system with pipeline and cache memory;

  • Efficient use of the memory. (The code implemented in C++ consumes only 624 words of working area.)

1 a sequence of numbers is said to be equidistributed on an interval [a,b] if for any subinterval [c,d] of [a,b] the following applies:

 

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