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A random number generator based on the combination of four LCGs

Author

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  • L'Ecuyer, Pierre
  • Andres, Terry H.

Abstract

A portable package for uniform random number generation is proposed, based on a backbone generator with period length near 2121, which combines four linear congruential generators. The package provides for multiple (virtual) generators evolving in parallel. Each generator has many disjoint subsequences, and software tools are provided to reset the state of any generator to the beginning of its first, previous, or current subsequence. An implementations is given in the C language.

Suggested Citation

  • L'Ecuyer, Pierre & Andres, Terry H., 1997. "A random number generator based on the combination of four LCGs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 44(1), pages 99-107.
    • Handle: RePEc:eee:matcom:v:44:y:1997:i:1:p:99-107
    DOI: 10.1016/S0378-4754(97)00052-9
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    References listed on IDEAS

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    1. Pierre L'Ecuyer & Raymond Couture, 1997. "An Implementation of the Lattice and Spectral Tests for Multiple Recursive Linear Random Number Generators," INFORMS Journal on Computing, INFORMS, vol. 9(2), pages 206-217, May.
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    Citations

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    Cited by:

    1. L’Ecuyer, Pierre & Munger, David & Oreshkin, Boris & Simard, Richard, 2017. "Random numbers for parallel computers: Requirements and methods, with emphasis on GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 135(C), pages 3-17.
    2. Wichmann, B.A. & Hill, I.D., 2006. "Generating good pseudo-random numbers," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1614-1622, December.
    3. L'Ecuyer, Pierre, 2004. "Random number generation," Papers 2004,21, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    4. Przemyslaw Jeziorski, 2010. "Merger enforcement in two-sided markets," Economics Working Paper Archive 570, The Johns Hopkins University,Department of Economics.
    5. Pierre L'Ecuyer & Richard Simard & E. Jack Chen & W. David Kelton, 2002. "An Object-Oriented Random-Number Package with Many Long Streams and Substreams," Operations Research, INFORMS, vol. 50(6), pages 1073-1075, December.
    6. Hellekalek, P., 1998. "Good random number generators are (not so) easy to find," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 46(5), pages 485-505.
    7. Tang, Hui-Chin, 2002. "Modified decomposition method for multiple recursive random number generator," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(5), pages 453-458.

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