Saturday, February 05, 2011

SIMD and Mersenne-Twister

Since 2007, there is a new kind of Mersenne-Twister (MT) that exploits SIMD architecture, the SFMT. The Mersenne-Twister has set quite a standard in random number generation for Monte-Carlo simulations, even though it has flaws.

I was wondering if SFMT improved the performance over MT for a Java implementation. There is actually on the same page a decent Java port of the original algorithm. When I ran it, it ended up slower by more than 20% than the classical Mersenne-Twister (32-bit) on a 64-bit JDK for Windows.

This kind of result is not too unsurprising as the code is more complex. But this shows that Java is unable to use SIMD instructions properly, which is still a bit disappointing.

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