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Basic Rand function with SIMD #54

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ronniec95 opened this issue Sep 7, 2020 · 1 comment
Open

Basic Rand function with SIMD #54

ronniec95 opened this issue Sep 7, 2020 · 1 comment

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@ronniec95
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An implementation of this would be really useful for monte carlo simulations (pricing), and anywhere where 4 or 8 random independent randoms are needed.

https://github.com/lemire/simdpcg or
https://mathoverflow.net/questions/104915/pseudo-random-algorithm-allowing-o1-computation-of-nth-element

I'm not sure how "good" it needs to be for the purposes of this library.

I think the second one could be quite simple and efficient to implement.

@ronniec95
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Oh and then we probably need to have a shuffle() for all the float/int types as I can imagine bitonic sorting being implemented in simd.

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