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Problem Note 59284: Faure and Sobol quasi-random number generators and the L'Ecuyer and Twister antithetic pseudorandom number generators might lead to unexpected results

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The Faure and Sobol quasi-random number generators use the Box-Muller transformation to transform the uniform draws to normal draws.  A probit transform is a better transformation for this purpose.

The L'Ecuyer and Twister antithetic pseudorandom number generators flip the uniform draws instead of the normal draws (that is, the uniform draw is subtracted from 1).  Instead, they should take the negative of the normal draws.

There are no errors or warnings.

To obtain a fix for this issue, contact SAS Technical Support.

This issue has been fixed in SAS® Risk Dimensions® 6.7. In the fixed release, the software has been changed and enhanced as a probit transform is a better transformation for the Faure and Sobol quasi-random number generators, and for the antithetic distribution, better convergence is obtained when the reflection is applied after the Box-Muller transformation.



Operating System and Release Information

Product FamilyProductSystemProduct ReleaseSAS Release
ReportedFixed*ReportedFixed*
SAS SystemSAS Risk Dimensions Enterprise EditionMicrosoft® Windows® for x645.56.79.3 TS1M29.4 TS1M4
Microsoft Windows 8 Enterprise 32-bit5.56.79.3 TS1M29.4 TS1M4
Microsoft Windows 8 Enterprise x645.56.79.3 TS1M29.4 TS1M4
Microsoft Windows 8 Pro 32-bit5.56.79.3 TS1M29.4 TS1M4
Microsoft Windows 8 Pro x645.56.79.3 TS1M29.4 TS1M4
Microsoft Windows 8.1 Enterprise 32-bit5.56.79.3 TS1M29.4 TS1M4
Microsoft Windows 8.1 Enterprise x645.56.79.3 TS1M29.4 TS1M4
Microsoft Windows 8.1 Pro 32-bit5.56.79.3 TS1M29.4 TS1M4
Microsoft Windows 8.1 Pro x645.56.79.3 TS1M29.4 TS1M4
Microsoft Windows Server 2003 Datacenter Edition5.59.3 TS1M2
Microsoft Windows Server 2003 Enterprise Edition5.59.3 TS1M2
Microsoft Windows Server 2003 Standard Edition5.59.3 TS1M2
Microsoft Windows Server 2003 for x645.59.3 TS1M2
Microsoft Windows Server 20085.56.79.3 TS1M29.4 TS1M4
Microsoft Windows Server 2008 R25.56.79.3 TS1M29.4 TS1M4
Microsoft Windows Server 2008 for x645.56.79.3 TS1M29.4 TS1M4
Microsoft Windows Server 2012 Datacenter5.56.79.3 TS1M29.4 TS1M4
Microsoft Windows Server 2012 R2 Datacenter5.56.79.3 TS1M29.4 TS1M4
Microsoft Windows Server 2012 R2 Std5.56.79.3 TS1M29.4 TS1M4
Microsoft Windows Server 2012 Std5.56.79.3 TS1M29.4 TS1M4
Microsoft Windows XP Professional5.59.3 TS1M2
Windows 7 Enterprise 32 bit5.56.79.3 TS1M29.4 TS1M4
Windows 7 Enterprise x645.56.79.3 TS1M29.4 TS1M4
Windows 7 Home Premium 32 bit5.56.79.3 TS1M29.4 TS1M4
Windows 7 Home Premium x645.56.79.3 TS1M29.4 TS1M4
Windows 7 Professional 32 bit5.56.79.3 TS1M29.4 TS1M4
Windows 7 Professional x645.56.79.3 TS1M29.4 TS1M4
Windows 7 Ultimate 32 bit5.56.79.3 TS1M29.4 TS1M4
Windows 7 Ultimate x645.56.79.3 TS1M29.4 TS1M4
Windows Vista5.59.3 TS1M2
Windows Vista for x645.59.3 TS1M2
64-bit Enabled AIX5.56.79.3 TS1M29.4 TS1M4
64-bit Enabled HP-UX5.56.79.3 TS1M29.4 TS1M4
64-bit Enabled Solaris5.56.79.3 TS1M29.4 TS1M4
HP-UX IPF5.56.79.3 TS1M29.4 TS1M4
Linux5.56.79.3 TS1M29.4 TS1M4
Linux for x645.56.79.3 TS1M29.4 TS1M4
Solaris for x645.56.79.3 TS1M29.4 TS1M4
* For software releases that are not yet generally available, the Fixed Release is the software release in which the problem is planned to be fixed.