Subtract with carry

Subtract-with-carry is a pseudorandom number generator of the lagged Fibonacci type introduced by George Marsaglia and Arif Zaman in 1991.[1]

Algorithm

Sequence generated by the subtract-with-carry engine may be described by the recurrence relation:

$x(i)=(x(i-S)-x(i-R)-cy(i-1))\ {\bmod {\ }}M$

where $cy(i)={\begin{cases}1,&{\text{if }}x(i-S)-x(i-R)-cy(i-1)<0\\0,&{\text{otherwise}}\end{cases}}$ .

Constants S and R are known as the short and long lags, respectively.[2] Therefore, expressions $x(i-S)$ and $x(i-R)$ correspond to the S-th and R-th previous terms of the sequence. S and R satisfy the condition $0<S<R$ . Modulus M has the value $M=2^{W}$ , where W is the word size, in bits, of the state sequence and $W>0$ .

The subtract-with-carry engine is one of the family of generators which includes as well add-with-carry and subtract-with-borrow engines.[1]

It is one of three random number generator engines included in the standard C++11 library.[3]

References

A New Class of Random Number Generators, George Marsaglia and Arif Zaman, The Annals of Applied Probability, Vol. 1, No. 3, 1991
subtract_with_carry_engine Class, Microsoft Visual Studio 2015
std::subtract_with_carry_engine, cppreference.com

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[marsaglia-1] A New Class of Random Number Generators, George Marsaglia and Arif Zaman, The Annals of Applied Probability, Vol. 1, No. 3, 1991

[2] subtract_with_carry_engine Class, Microsoft Visual Studio 2015

[3] std::subtract_with_carry_engine, cppreference.com