Random Number Generator (RNG) is one of the core utilities needed by Monte Carlo Simulation. We provide RNGs that generate uniform distribution and normal distribution. The detailed supported RNGs are listed below.
| RNG name | Distribution generated | DataType supported | Underlying Algorithm |
|---|---|---|---|
| MT19937 | Uniform Distribution in (0,1) | float, double | Mersenne Twister (MT19937) |
| MT2203 | Uniform Distribution in (0,1) | float, double | Mersenne Twister (MT2203) |
| MT19937IcnRng | Normal Distribution N(0,1) | float, double | Inverse CDF Transformation |
| MT2203IcnRng | Normal Distribution N(0,1) | float, double | Inverse CDF Transformation |
| MT19937BoxMullerNomralRng | Normal Distribution N(0,1) | float, double | Box Muller Transformation |
| MultiVariateNormalRng | Multi Variate Normal Distribution | float, double | Cholesky Decomposition |