An object-oriented random-number package with many long streams and substreams
An object-oriented random-number package with many long streams and substreams
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DOI：
10.1287/opre.50.6.1073.358
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发表时间：
2002-11-01
影响因子：
2.7
通讯作者：
Kelton, WD
中科院分区：
文献类型：
--
作者：
L'ecuyer, P;Simard, R;Kelton, WD
在模拟研究中经常需要多个独立的随机数流，例如，为了减少方差的目的促进同步，以及进行独立的复制。一套便携式的软件工具，描述了均匀随机数生成。它提供了多个生成器（流）同时运行，每个生成器（流）都将其数字序列划分为许多长的不相交的连续子流。这种实现的基本底层生成器是由L 'Ecuyer（1999 a）提出的周期长度约为2的组合多递归生成器（[9]）。这里描述了一个C++接口。可移植的实现在C、C++和Java中可以通过运筹学网站上的在线文章获得。(http：//or.pubs.informs.org/pages/collect.html）。
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).