Using RngStreams for parallel random number generation in C++ and R

Andrew Karl (), Randy Eubank, Jelena Milovanovic, Mark Reiser and Dennis Young

Computational Statistics, 2014, vol. 29, issue 5, 1320 pages

Abstract: The RngStreams software package provides one viable solution to the problem of creating independent random number streams for simulations in parallel processing environments. Techniques are presented for effectively using RngStreams with C++ programs that are parallelized via OpenMP or MPI. Ways to access the backbone generator from RngStreams in R through the parallel and rstream packages are also described. The ideas in the paper are illustrated with both a simple running example and a Monte Carlo integration application. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: OpenMP; MPI; Multicore; Rstream (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:29:y:2014:i:5:p:1301-1320

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DOI: 10.1007/s00180-014-0492-3

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