Comparison of performance (speed) or R's Gausian random number generators.

rng_tests.R

test.func <- function(n.samples) {
    nms <- c("Wichmann-Hill", "Marsaglia-Multicarry", "Super-Duper", "Mersenne-Twister", "Knuth-TAOCP-2002", "Knuth-TAOCP", "L'Ecuyer-CMRG")
    tmp <- lapply(nms, function(unif.rng.name) {
        RNGkind(unif.rng.name)
        nms <- c("Kinderman-Ramage", "Ahrens-Dieter", "Box-Muller", "Inversion")
        tmp <- sapply(nms, function(norm.rng.name) {
            RNGkind(, norm.rng.name)
            system.time(rnorm(n.samples))
        })[1:3,]
        # included here because I'm not sure if rziggurat uses the unif rng internally.
        cbind(rziggurat=system.time(rziggurat(n.samples))[1:3], tmp)
    })
    names(tmp) <- nms
    tmp
}

library(SuppDists)
n.samples <- 1e8
times <- test.func(n.samples)

## Results
# 
# $`Wichmann-Hill`
#           rziggurat Kinderman-Ramage Ahrens-Dieter Box-Muller Inversion
# user.self      1.72            16.68         13.00      21.22     21.80
# sys.self       0.85             0.11          0.37       0.29      1.05
# elapsed        2.57            16.82         13.48      21.51     22.91
# 
# $`Marsaglia-Multicarry`
#           rziggurat Kinderman-Ramage Ahrens-Dieter Box-Muller Inversion
# user.self      1.59             7.24          7.03      16.02     12.90
# sys.self       0.49             0.16          0.08       0.16      0.18
# elapsed        2.09             7.44          7.11      16.19     13.11
# 
# $`Super-Duper`
#           rziggurat Kinderman-Ramage Ahrens-Dieter Box-Muller Inversion
# user.self      1.69             7.30          7.23      16.47     12.95
# sys.self       0.48             0.12          0.11       0.12      0.17
# elapsed        2.17             7.44          7.35      16.64     13.12
# 
# $`Mersenne-Twister`
#           rziggurat Kinderman-Ramage Ahrens-Dieter Box-Muller Inversion
# user.self      1.73             7.80          7.66      16.69     13.52
# sys.self       0.45             0.17          0.09       0.19      0.20
# elapsed        2.18             7.99          7.75      16.92     13.73
# 
# $`Knuth-TAOCP-2002`
#           rziggurat Kinderman-Ramage Ahrens-Dieter Box-Muller Inversion
# user.self      1.70             9.28          8.10      16.95     14.26
# sys.self       0.32             0.11          0.09       0.16      0.21
# elapsed        2.02             9.39          8.21      17.13     14.47
# 
# $`Knuth-TAOCP`
#           rziggurat Kinderman-Ramage Ahrens-Dieter Box-Muller Inversion
# user.self      1.69             9.03          8.10      17.01     14.23
# sys.self       0.45             0.04          0.08       0.36      0.30
# elapsed        2.14             9.09          8.19      17.38     14.55
# 
# $`L'Ecuyer-CMRG`
#           rziggurat Kinderman-Ramage Ahrens-Dieter Box-Muller Inversion
# user.self      1.69            18.34         14.40      22.98     22.56
# sys.self       0.92             0.29          0.26       0.42      0.38
# elapsed        2.61            18.66         14.73      23.46     22.93