From http://www.cs.ucl.ac.uk/staff/D.Jones/GoodPracticeRNG.pdf
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Note that all of these standard generators have been shown to have serious defects:
Standard Perl rand
Java.util.Random
C-library rand()
Matlab’s rand
Mathematica’s SWB generator
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George Marsaglia's KISS algorithm is given the thumbs up, Microsoft dotNet's Random class isn't mentioned almost certainly because it isn't used much in academia - and as I've already discussed here, that algorithm cannot be re-initialised quickly and KISS is alomst certainly going to be faster anyway. Though not quite as fast as XOR-Shift.
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