Using RngStreams for parallel random number generation in C++ and R

The <Emphasis FontCategory="NonProportional">RngStreams software package provides one viable solution to the problem of creating independent random number streams for simulations in parallel processing environments. Techniques are presented for effectively using <Emphasis FontCategory="NonProportional">RngStreams with <Emphasis FontCategory="NonProportional">C++ programs that are parallelized via <Emphasis FontCategory="NonProportional">OpenMP or <Emphasis FontCategory="NonProportional">MPI. Ways to access the backbone generator from <Emphasis FontCategory="NonProportional">RngStreams in <Emphasis FontCategory="NonProportional">R through the <Emphasis FontCategory="NonProportional">parallel and <Emphasis FontCategory="NonProportional">rstream packages are also described. The ideas in the paper are illustrated with both a simple running example and a Monte Carlo integration application. Copyright Springer-Verlag Berlin Heidelberg 2014