An object-oriented random-number package with many long streams and substreams
成果类型：
Article
署名作者：
L'ecuyer, P; Simard, R; Chen, EJ; Kelton, WD
署名单位：
Universite de Montreal; BASF; University System of Ohio; University of Cincinnati
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.50.6.1073.358
发表日期：
2002
页码：
1073-1075
关键词：
摘要：
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([9]), proposed by L'Ecuyer (1999a). A C++ interface is described here. Portable implementations are available in C, C++, and Java via the online companion to this paper on the Operations Research Web site. (http://or.pubs.informs.org/pages/collect.html).