Here's what you need to do 1. Seed your RNG from R (still do this b/c C++ is faster) 2. Sample all your uniform or exponential RVs at once - consider doing this in parallel over how many threads you have - Only have to do the long jump thing once 3. Allocate those numbers in a structure that is cache access efficient - possibly best approach here is to have a nested vector of vectors of doubles of that conforms to [iterations][threads][doubles] 4. Rip through them as you sample
Another, possibly conceptually simpler thing to do
1. Seed the RNG once from R
2. For each iteration, sample threads
number of integers
3. Pass those along to each thread to seed their RNG streams
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