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

Author

Listed:
  • Pierre L'Ecuyer

    (Département d'informatique et de recherche opérationnelle, Université de Montréal, C.P. 6128, succ. Centre-Ville, Montréal, Québec, Canada, H3C 3J7)

  • Richard Simard

    (Département d'informatique et de recherche opérationnelle, Université de Montréal, C.P. 6128, succ. Centre--Ville, Montréal, Québec, Canada, H3C 3J7)

  • E. Jack Chen

    (BASF Corporation, 3000 Continental Drive-North, Mount Olive, New Jersey 07828-1234)

  • W. David Kelton

    (Department of Quantitative Analysis and Operations Management, College of Business Administration, University of Cincinnati, Cincinnati, Ohio 45221-0130)

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 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 2 191 , proposed by L'Ecuyer (1999a). A C++ interface is described here. Portable implementations are available in C, C++, and Java as supplemental material at http://dx.doi.org/10.1287/opre.50.6.1073.358

Suggested Citation

  • Pierre L'Ecuyer & Richard Simard & E. Jack Chen & W. David Kelton, 2002. "An Object-Oriented Random-Number Package with Many Long Streams and Substreams," Operations Research, INFORMS, vol. 50(6), pages 1073-1075, December.
    • Handle: RePEc:inm:oropre:v:50:y:2002:i:6:p:1073-1075
    DOI: 10.1287/opre.50.6.1073.358
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    References listed on IDEAS

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    1. L'Ecuyer, Pierre & Andres, Terry H., 1997. "A random number generator based on the combination of four LCGs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 44(1), pages 99-107.
    2. L’Ecuyer, Pierre & Simard, Richard, 2001. "On the performance of birthday spacings tests with certain families of random number generators," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 55(1), pages 131-137.
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    Cited by:

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    2. Gilles Pag`es & Benedikt Wilbertz, 2011. "GPGPUs in computational finance: Massive parallel computing for American style options," Papers 1101.3228, arXiv.org.
    3. Albert Solernou & Benjamin S Hanson & Robin A Richardson & Robert Welch & Daniel J Read & Oliver G Harlen & Sarah A Harris, 2018. "Fluctuating Finite Element Analysis (FFEA): A continuum mechanics software tool for mesoscale simulation of biomolecules," PLOS Computational Biology, Public Library of Science, vol. 14(3), pages 1-29, March.
    4. Eric C. Ni & Dragos F. Ciocan & Shane G. Henderson & Susan R. Hunter, 2017. "Efficient Ranking and Selection in Parallel Computing Environments," Operations Research, INFORMS, vol. 65(3), pages 821-836, June.
    5. Mehmet Tolga Cezik & Pierre L'Ecuyer, 2008. "Staffing Multiskill Call Centers via Linear Programming and Simulation," Management Science, INFORMS, vol. 54(2), pages 310-323, February.
    6. Kyle Cooper & Susan R. Hunter, 2020. "PyMOSO: Software for Multiobjective Simulation Optimization with R-PERLE and R-MinRLE," INFORMS Journal on Computing, INFORMS, vol. 32(4), pages 1101-1108, October.
    7. repec:jss:jstsof:37:i03 is not listed on IDEAS
    8. Iago Medeiros & Lucas Pacheco & Denis Rosário & Cristiano Both & Jéferson Nobre & Eduardo Cerqueira & Lisandro Granville, 2021. "Quality of experience and quality of service‐aware handover for video transmission in heterogeneous networks," International Journal of Network Management, John Wiley & Sons, vol. 31(5), September.
    9. Herbei Radu & Kubatko Laura, 2013. "Monte Carlo estimation of total variation distance of Markov chains on large spaces, with application to phylogenetics," Statistical Applications in Genetics and Molecular Biology, De Gruyter, vol. 12(1), pages 39-48, March.
    10. Kastner, Gregor & Frühwirth-Schnatter, Sylvia, 2014. "Ancillarity-sufficiency interweaving strategy (ASIS) for boosting MCMC estimation of stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 408-423.
    11. David J. Eckman & Shane G. Henderson & Sara Shashaani, 2023. "SimOpt: A Testbed for Simulation-Optimization Experiments," INFORMS Journal on Computing, INFORMS, vol. 35(2), pages 495-508, March.
    12. Kampf, M. & Kochel, P., 2006. "Simulation-based sequencing and lot size optimisation for a production-and-inventory system with multiple items," International Journal of Production Economics, Elsevier, vol. 104(1), pages 191-200, November.
    13. Imry Rosenbaum & Jeremy Staum, 2017. "Multilevel Monte Carlo Metamodeling," Operations Research, INFORMS, vol. 65(4), pages 1062-1077, August.
    14. Tang, Hui-Chin, 2005. "Reverse multiple recursive random number generators," European Journal of Operational Research, Elsevier, vol. 164(2), pages 402-405, July.
    15. Arthur Hau, 2011. "Pricing of Loan Commitments for Facilitating Stochastic Liquidity Needs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 39(1), pages 71-94, April.
    16. Mascagni Michael & Hin Lin-Yee, 2013. "Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model," Monte Carlo Methods and Applications, De Gruyter, vol. 19(2), pages 77-105, July.
    17. Bivand, Roger, 2010. "Exploiting Parallelization in Spatial Statistics: an Applied Survey using R," Discussion Paper Series in Economics 25/2010, Norwegian School of Economics, Department of Economics.
    18. Labart Céline & Lelong Jérôme, 2013. "A parallel algorithm for solving BSDEs," Monte Carlo Methods and Applications, De Gruyter, vol. 19(1), pages 11-39, March.
    19. Natasha Stout & Sue Goldie, 2008. "Keeping the noise down: common random numbers for disease simulation modeling," Health Care Management Science, Springer, vol. 11(4), pages 399-406, December.
    20. Céline Labart & Jérôme Lelong, 2011. "A Parallel Algorithm for solving BSDEs - Application to the pricing and hedging of American options," Working Papers hal-00567729, HAL.
    21. Pierre L'Ecuyer & Richard Simard, 2014. "On the Lattice Structure of a Special Class of Multiple Recursive Random Number Generators," INFORMS Journal on Computing, INFORMS, vol. 26(3), pages 449-460, August.
    22. Thomas W. Lucas & W. David Kelton & Paul J. Sánchez & Susan M. Sanchez & Ben L. Anderson, 2015. "Changing the paradigm: Simulation, now a method of first resort," Naval Research Logistics (NRL), John Wiley & Sons, vol. 62(4), pages 293-303, June.
    23. Hiroshi Haramoto & Makoto Matsumoto & Takuji Nishimura & François Panneton & Pierre L'Ecuyer, 2008. "Efficient Jump Ahead for (F-openface) 2 -Linear Random Number Generators," INFORMS Journal on Computing, INFORMS, vol. 20(3), pages 385-390, August.
    24. Avramidis, Athanassios N. & Chan, Wyean & Gendreau, Michel & L'Ecuyer, Pierre & Pisacane, Ornella, 2010. "Optimizing daily agent scheduling in a multiskill call center," European Journal of Operational Research, Elsevier, vol. 200(3), pages 822-832, February.

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