Publication: Some Fundamental Properties of a Multivariate von Mises Distribution. Multivariate von Mises distributions can be used to describe components in mixture models for angular data. Here, we derive sufficient criteria for von Mises distributions to be unimodal. … read more

The Ziggurat Method for Generating Gaussian Random Numbers. A fast method for generating Gaussian random numbers. … read more

Blog: The Fortuna Random Number Generator. A new implementation of the Fortuna Random Number Generator in Go. … read more

By Jochen Voss, on

I just tried to find out what the default random number generator of
the Go programming language is. The
source code for this RNG can be found in the file
`rng.go`

;
the only reference in the source code is the cryptic comment algorithm
by DP Mitchell and JA Reeds

. Does anybody have a reference for this,
or can at least identify DP Mitchell

or JA Reeds

? Some
things I tried:

- I found one reference which claims that the Go random number generator is the same as used in Plan 9. The participants of this discussion seem to not know the origin of the method used.
- While searching for
Mitchell

in the context of random number generation, I found references to the following article: D. Mitchell,Nonlinear Key Generators,

Cryptologia, vol. 14, pp. 350-354, 1990. I hoped that this article may allow me to find an affiliation forD. Mitchell

, but unfortunately it seems to have been removed(!) from the journal. The table of contents shows a gap between pages 349 and 355. - A Google search for
mitchell reeds random number generator

shows no obvious good candidates.

Any hints about where the algorithm comes from would be most welcome.

This is an excerpt from Jochen's blog.

Newer entry: The Rate of Convergence for Approximate Bayesian Computation

Older entry: the book is out!!!

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