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Wallace has proposed a new class of pseudo-random generators for normalvariates. These generators do not require a stream of uniform pseudo-randomnumbers, except for initialisation. The inner loops are essentiallymatrix-vector multiplications and are very suitable for implementation onvector processors or vector/parallel processors such as the Fujitsu VPP300. Inthis report we outline Wallace's idea, consider some variations on it, anddescribe a vectorised implementation RANN4 which is more than three timesfaster than its best competitors (the Polar and Box-Muller methods) on theFujitsu VP2200 and VPP300.

A fast vectorised implementation of Wallace's normal random number generator