The MIXMAX random number generator

Abstract

In this paper, we study the randomness properties of unimodular matrix random number generators. Under well-known conditions, these discrete-time dynamical systems have the highly desirable K-mixing properties which guarantee high quality random numbers. It is found that some widely used random number generators have poor Kolmogorov entropy and consequently fail in empirical tests of randomness. These tests show that the lowest acceptable value of the Kolmogorov entropy is around 50. Next, we provide a solution to the problem of determining the maximal period of unimodular matrix generators of pseudo-random numbers. We formulate the necessary and sufficient condition to attain the maximum period and present a family of specific generators in the MIXMAX family with superior performance and excellent statistical properties. Finally, we construct three efficient algorithms for operations with the MIXMAX matrix which is a multi-dimensional generalization of the famous cat-map. First, allowing to compute the multiplication by the MIXMAX matrix with O(N) operations. Second, to recursively compute its characteristic polynomial with O(N2) operations, and third, to apply skips of large number of steps S to the sequence in O(N2 log(S)) operations.