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Normally Distributed Random Number Generator Benchmark

Copyright(c) 2015 Milo Yip ([email protected])

Introduction

This benchmark evaluates the performance of generting random numbers with standard normal distribution. The function prototypes are:

void normaldistf(float* data, size_t n);
void normaldist(double* data, size_t n);

These functions generate n standard normal distributed random numbers (samples), in float and double respectively.

Generating muliple random numbers, instead of generating a single random number, can be suitable for some algorithms (such as Box-Muller generates two numbers at once, and also SIMD versions).

Some implemenetations require data to be 16 or 32 byte aligned, and n to be multiples of 2, 8, 16, 32 etc.

Procedure

Firstly the program verifies the correctness of implementations. The correctness is simply using the following critera:

bool correctness = 
    std::abs(mean    ) < 0.01 &&
    std::abs(sd - 1.0) < 0.01 &&
    std::abs(skewness) < 0.01 &&
    std::abs(kurtosis) < 0.01;

where skewness is Pearson's moment coefficient of skewness and kurtosis is excess kurtosis.

In the benchmark, each trial generates n = 1000000 (1 million) samples. The minimum time duration is measured for 10 trials.

Build and Run

  1. Obtain premake4.
  2. Copy premake4 executable to normaldist-benchmark/build folder (or system path).
  3. Run premake.bat or premake.sh in normaldist-benchmark/build
  4. On Windows, build the solution at normaldist-benchmark/build/vs2008/ or /vs2010/.
  5. On other platforms, run GNU make config=release32 (or release64) at normaldist-benchmark/build/gmake/
  6. On success, run the normaldistXXX executable is generated at normaldist-benchmark/
  7. The results in CSV format will be written to normaldist-benchmark/result.
  8. Run GNU make in normaldist-benchmark/result to generate results in HTML.

Note that, for platforms not supporting SSE2/AVX, please modify build/premake4.lua and src/test.h.

Implementations

Function  Description
boxmuller Box-Muller transform [1]. Requires n % 2 == 0.
cpp11random std::normal_distribution with std::minstd_rand.
cltm By central limit theorem (CLT), sum m uniform random numbers, then adjust the mean and re-scale for standard deviation.
inverse Inverse transform sampling with inverse normal CDF developed by Peter John Acklam.
marsagliapolar Marsaglia polar method [2]. Requires n % 2 == 0.
ziggurat Ziggurat algorithm by Marsaglia et al [3], using Jochen Voss's implementation.
null Generates uniform random numbers.

Note that the null implementation generates unform random numbers. It measures the overheads of looping, memory writing, and uniform random number generation. Uniform number generation is included because normally distributed random number generators are based on at least one uniform random number generation.

CLT implementations were actually unable to pass the correctness tests, as their kurtosis are higher than threshold.

All implementations except cpp11random uses simplest linear congruential generator as uniform distributed pseudo random number generator (PRNG).

Suffixes Description
sse2 SSE2 version (data requires 16-byte alignment)
avx AVX version (data requires 32-byte alignment)

Some implementations of sse2 and avx version are using math libraries sse_mathfun and avx_mathfun, which provides logarithm and sine/cosine functions.

Results

The following are results measured on a iMac (Core i5 3330S @2.70GHz).

normaldistf (single precision):

Function Time (ns) Speedup
clt16 21.384 1.00x
cpp11random 18.642 1.15x
clt16_avx 16.295 1.31x
clt16_sse2 14.585 1.47x
inverse 13.090 1.63x
marsagliapolar 10.926 1.96x
clt8 10.683 2.00x
boxmuller 10.548 2.03x
clt8_avx 7.636 2.80x
clt8_sse2 7.056 3.03x
ziggurat 6.731 3.18x
clt4 5.542 3.86x
boxmuller_sse2 3.752 5.70x
clt4_sse2 3.557 6.01x
clt4_avx 2.730 7.83x
boxmuller_avx 2.253 9.49x
null 1.253 17.07x

Corei5-3330S@2.70GHz_mac64_clang6.1_normaldistf_time

normaldist (double precision):

Function Time (ns) Speedup
cpp11random 32.245 1.00x
clt16 28.113 1.15x
boxmuller 16.427 1.96x
inverse 14.625 2.20x
clt8 14.178 2.27x
marsagliapolar 12.837 2.51x
clt4 7.402 4.36x
ziggurat 7.086 4.55x
null 1.456 22.15x

Corei5-3330S@2.70GHz_mac64_clang6.1_normaldist_time

FAQ

  1. How to add an implementation?

    You may clone an existing implementation file (e.g. boxmuller.cpp). And then modify it. Re-run premake to add it to project or makefile. Note that it will automatically register to the benchmark by macro REGISTER_TEST(name).

    Making pull request of new implementations is welcome.

References

[1] G. E. P. Box and Mervin E. Muller, A Note on the Generation of Random Normal Deviates, The Annals of Mathematical Statistics (1958), Vol. 29, No. 2 pp. 610–611.

[2] Marsaglia, George, and Thomas A. Bray. "A convenient method for generating normal variables." SIAM review 6.3 (1964): 260-264.

[3] Marsaglia, George, and Wai Wan Tsang. "The ziggurat method for generating random variables." Journal of statistical software 5.8 (2000): 1-7.

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