The RdRand package provides an interface for using Intel's RDRAND instruction, which provides extremely high quality random numbers. The instruction is currently only available on Ivy Bridge processors.
On a 1.8 GHz Intel Core i5 (i5-3427U) each
rdrand() call takes about 50
rand(), which uses a SIMD Mersenne Twister implementation, takes about 5 nanoseconds.
In the Julia interpreter type:
rdrand(): provides a random number on the interval [0,1]
rdrand16(): provides a UInt16 random number
rdrand32(): provides a UInt32 random number
rdrand64(): provides a UInt64 random number
The random numbers are generated by combining a high quality hardware source of entropy (thermal noise) with a cryptographically secure random number generator (CSPRNG). Quoting Intel's guide:
With respect to the RNG taxonomy discussed above, the DRNG follows the cascade construction RNG model, using a processor resident entropy source to repeatedly seed a hardware-implemented CSPRNG. Unlike software approaches, it includes a high-quality entropy source implementation that can be sampled quickly to repeatedly seed the CSPRNG with high-quality entropy. Furthermore, it represents a self-contained hardware module that is isolated from software attacks on its internal state. The result is a solution that achieves RNG objectives with considerable robustness: statistical quality (independence, uniform distribution), highly unpredictable random number sequences, high performance, and protection against attack.
2 months ago