RandomStreams

This repository contains the RandomStreams package for the Julia language.

Introduction

We offer an implementation of the MRG32k3a random number generator proposed by Pierre L'Ecuyer; see [1] for a good overview and motivation for the project, and [2], [3], and [4] for detailed references.

References

• [1] "An object-oriented random-number package with many long streams and substreams", Pierre L'Ecuyer, Richard Simard, E. Jack Chen, W. David Kelton. Paper.

• [2] "Good parameters and implementations for combined multiple recursive random number generators", Pierre L'Ecuyer. Paper.

• [3] "Good Parameter Sets for Combined Multiple Recursive Random Number Generators", Pierre L'Ecuyer. Paper and C code.

• [4] "An Objected-Oriented Random-Number Package with Many Long Streams and Substreams", P. L'Ecuyer, R. Simard, E. J. Chen, and W. D. Kelton, Operations Research, 50, 6 (2002), 1073--1075. Paper.