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:

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

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

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

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

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