fast_xorshift_plus

This is a small header-only library (fast_rng.hpp) for fast random number generation. Currently, it requires the AVX2 instruction set (for _mm256_xor_si256(), _mm256_slli_epi64(), _mm256_srli_epi64(), and _mm256_add_epi64()). I hope to make this compatible with SSE4.2 soon! It has been optimised using Intel Intrinsic functions and makes use of SIMD vectorization, so the speed increase comes from running several PRNGs in parallel.

Usage

To check that the generator is running properly, make test (see test_rng.cpp) that runs unit tests to compare the vectorized implementation to a scalar implementation (in rng_helpers.hpp).

To use fast_rng::gen_rand_bits() (that generates 256 random bits) or fast_rng::gen_floats() (interprets the 256 bits as eight 32-bit signed floats), use the following:

#include "fast_rng.hpp”

fast_rng::vec_xorshift_plus rng; // instantiate random number generator with random device

float out[8]; // array to hold the floats generated
_mm256_storeu_ps(&out, rng.gen_floats()); // store random numbers in array

__m256i rn_vec; // SIMD vector to hold bits generated
_mm256_store_si256(&rn_vec, rng.gen_rand_bits()); // store random numbers in vector

For a more comprehensive example using gen_floats() see example.cpp (make example). For use of gen_random_bits(), see time_64_bits() in test_rng.cpp. The unit test and timing test live in test_rng.cpp, which can be compiled using make test.