Projects / AnchorPower

AnchorPower

AnchorPower is a very fast, simple, and general random number generation method based on Inverse Transform and Taylor Series. Its main contributions are speed, simplicity, and generality. Speed tests have shown that it outperforms many excellent RNG implementations, including GNU Scientific Library and UNURAN, by a factor of 2 or more. The quality of the method has also been confirmed by standard randomness tests.

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Recent releases

  •  27 Jul 2009 19:53

    Release Notes: This release adds a major update of the C library, supports hundreds of distributions, provides computation of distributional functions (CDF, quantile, density, derivatives, etc.), and adds much better programming documentation.

    •  26 Mar 2009 17:05

      Release Notes: A C programming interface has been created to allow any C/C++ application program to take advantage 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 many more users to utilize this tool.

      •  25 Mar 2009 12:42

        Release Notes: In this latest release, AnchorPower demonstrates truly impressive performance. When pitched 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. This release should be of particular interest to people who are interested in Monte Carlo simulation.

        •  14 Mar 2009 16:07

          Release Notes: This release adds 5 new distributions, with a lot of code reorganization. It supports Normal, Gamma, Beta, Student-t, F, Exponential, Cauchy, Rayleigh, Laplace, and Logistic. The new distributions all have rather simple and explicit inverse CDFs. Yet even for these simple distributions, you can still enjoy significant performance gains from AnchorPower.

          •  10 Mar 2009 14:51

            No changes have been submitted for this release.

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