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

Andrew T. Karl, Randy Eubank, Jelena Milovanovic, Mark Reiser, Dennis Young

Research output: Contribution to journalArticle

4 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)1301-1320
Number of pages20
JournalComputational Statistics
Volume29
Issue number5
DOIs
StatePublished - 2014

Keywords

  • MPI
  • Multicore
  • OpenMP
  • Rstream

ASJC Scopus subject areas

  • Statistics and Probability
  • Computational Mathematics
  • Statistics, Probability and Uncertainty

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