numpy performance and random numbers

[Carl Johan Rehn]

Dear friends,

I plan to port a Monte Carlo engine from Matlab to Python. However,
when I timed randn(N1, N2) in Python and compared it with Matlab's
randn, Matlab came out as a clear winner with a speedup of 3-4 times.
This was truly disappointing. I ran tthis test on a Win32 machine and
without the Atlas library.

Why is there such a large difference in speed and how can I improve
the speed of randn in Python! Any help with this matter is truly
appreciated since I really would like to get away from Matlab and move
over to Python instead.

Yours Carl