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

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 as supplemental material at http://dx.doi.org/10.1287/opre.50.6.1073.358