RngStreams

RngStreams is an object-oriented random-number package with many long streams and substreams, based on the MRG32k3a RNG from reference [1] below and proposed in [2].

This repository is a C++ implementation, but RngStreams is also available for C, Java, R, OpenCL, and some other languages.

e-mail: lecuyer@iro.umontreal.ca
web page: http://www.iro.umontreal.ca/~lecuyer/

If you use it for your research, please cite the following relevant publications in which MRG32k3a and the package with multiple streams were proposed:

[1] P. L'Ecuyer, Good Parameter Sets for Combined Multiple Recursive Random Number Generators, Operations Research, 47, 1 (1999), 159--164.
See https://www-labs.iro.umontreal.ca/~lecuyer/myftp/papers/opres-combmrg2-1999.pdf

[2] P. L'Ecuyer, R. Simard, E. J. Chen, and W. D. Kelton, An Objected-Oriented Random-Number Package with Many Long Streams and Substreams, Operations Research, 50, 6 (2002), 1073--1075
See https://www-labs.iro.umontreal.ca/~lecuyer/myftp/papers/streams00.pdf

License

The package is under an Apache 2.0 license, copyrighted by Pierre L'Écuyer and the University of Montreal. It can be used freely for any purpose.

Build

Clone the project

git clone git@github.com:umontreal-simul/RngStreams.git

For single configuration generator, such as Unix Makefiles, the default configuration is Release. You can specify Debug configuration giving this command-line option to CMake: -DCMAKE_BUILD_TYPE=Debug.

mkdir build
cd build
cmake .. [-DCMAKE_BUILD_TYPE=Debug] [-DCMAKE_INSTALL_PREFIX=<install_path>]
make

Installation

To install RngStreams in the install path specified with the option CMAKE_INSTALL_PREFIX, execute the install target, e.g. on Linux:

make install

Compile against RngStreams

Add these lines to you CMakeLists.txt:

find_package(RngStreams REQUIRED)
target_link_libraries(<your_target>
    PRIVATE RngStreams::RngStreams)

If the RngStreams installation path is not standard, set RngStreams_ROOT to the installation path when invoking cmake:

cmake -DRngStreams_ROOT=/rngstreams/install/path ...

Tests

If you want to run RngStreams tests, first, get doctest submodule

git submodule update --init --recursive

Then re-generate the project with the RngStreams_BUILD_TESTS variable set to ON:

cd build
cmake .. -DRngStreams_BUILD_TESTS=ON
make

Finally, run the test

make test