Implementation of Pierre L'Ecuyer's RngStreams
This is an R re-implementation of Pierre L'Ecuyer's ‘RngStreams’ multiple streams of pseudo-random numbers.
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An integer vector of length 7 as given by
A cluster from this package or package \CRANpkgsnow, or (if
An integer to be supplied to
The ‘RngStream’ interface works with (potentially) multiple streams of pseudo-random numbers: this is particularly suitable for working with parallel computations since each task can be assigned a separate RNG stream.
This uses as its underlying generator
of L'Ecuyer (1999), which has a seed vector of 6 (signed) integers and a
period of around 2^191. Each ‘stream’ is a
subsequence of the period of length 2^127 which is in
turn divided into ‘substreams’ of length 2^76.
The idea of L'Ecuyer et al (2002) is to use a separate stream
for each of the parallel computations (which ensures that the random
numbers generated never get into to sync) and the parallel
computations can themselves use substreams if required. The original
interface stores the original seed of the first stream, the original
seed of the current stream and the current seed: this could be
implemented in R, but it is as easy to work by saving the relevant
.Random.seed: see the examples.
clusterSetRNGStream selects the
"L'Ecuyer-CMRG" RNG and
then distributes streams to the members of a cluster, optionally
setting the seed of the streams by
they are set from the current seed of the master process: after
selecting the L'Ecuyer generator).
mc.reset.stream() after setting the L'Ecuyer random
number generator and seed makes runs from
mcparallel(mc.set.seed = TRUE) reproducible. This is
done internally in
(Note that it does not set the seed in the master process, so does not
affect the fallback-to-serial versions of these functions.)
a value which can be assigned to
Interfaces to L'Ecuyer's C code are available in CRAN packages \CRANpkgrlecuyer and \CRANpkgrstream.
L'Ecuyer, P. (1999) Good parameters and implementations for combined multiple recursive random number generators. Operations Research 47, 159–164.
L'Ecuyer, P., Simard, R., Chen, E. J. and Kelton, W. D. (2002) An object-oriented random-number package with many long streams and substreams. Operations Research 50 1073–5.
RNG for fuller details of R's built-in random number
The vignette for package parallel.
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