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 randomnumber 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 in a previous paper. A C++ interface is described here. Portable implementations are available in C, C++, and Java via the On-line Companion to this paper on the Operations Research website. This report is an expanded version of the article by L’Ecuyer et al. (2001).

Citations