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

Département d'informatique et de recherche opérationnelle, Université de Montréal, C.P. 6128, succ. Centre-Ville, Montréal, Québec, Canada, H3C 3J7
Département d'informatique et de recherche opérationnelle, Université de Montréal, C.P. 6128, succ. Centre–Ville, Montréal, Québec, Canada, H3C 3J7
BASF Corporation, 3000 Continental Drive-North, Mount Olive, New Jersey 07828-1234
Department of Quantitative Analysis and Operations Management, College of Business Administration, University of Cincinnati, Cincinnati, Ohio 45221-0130
lecuyer{at}iro.umontreal.ca
simardr{at}iro.umontreal.ca
chenej{at}basf.com
david.kelton{at}uc.edu

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 2¹⁹¹, 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.

Subject classifications: Simulation: random number generation; random variable generation. Statistical analysis. Computers/computer science: software.
History: Received December 2000; revision received August 2001; accepted December 2001.

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