An Object-Oriented Random-Number Package with Many Long Streams and Substreams

Pierre L'Ecuyer (), Richard Simard (), E. Jack Chen () and W. David Kelton ()
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Pierre L'Ecuyer: Département d'informatique et de recherche opérationnelle, Université de Montréal, C.P. 6128, succ. Centre-Ville, Montréal, Québec, Canada, H3C 3J7
Richard Simard: Département d'informatique et de recherche opérationnelle, Université de Montréal, C.P. 6128, succ. Centre--Ville, Montréal, Québec, Canada, H3C 3J7
E. Jack Chen: BASF Corporation, 3000 Continental Drive-North, Mount Olive, New Jersey 07828-1234
W. David Kelton: Department of Quantitative Analysis and Operations Management, College of Business Administration, University of Cincinnati, Cincinnati, Ohio 45221-0130

Operations Research, 2002, vol. 50, issue 6, 1073-1075

Abstract: Multiple independent streams of random numbers are often required in simulation studies, for instance, to facilitate synchronization for variance-reduction purposes, and for making independent replications. A portable set of software utilities is described for uniform random-number generation. It provides for multiple generators (streams) running simultaneously, and each generator (stream) has its sequence of numbers partitioned into many long disjoint contiguous substreams. The basic underlying generator for this implementation is a combined multiple-recursive generator with period length of approximately 2 191 , proposed by L'Ecuyer (1999a). A C++ interface is described here. Portable implementations are available in C, C++, and Java as supplemental material at http://dx.doi.org/10.1287/opre.50.6.1073.358

Keywords: Simulation: random number generation; random variable generation. Statistical analysis. Computers/computer science: software (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (25)

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