rstream (version 1.0)

rstream-class: Class "rstream" -- Multiple streams of uniform random numbers

Description

The virtual class "rstream" provides a unified interface to uniform random number generators. Objects of its subclasses act as a source of streams for random numbers that can be handled by a set of methods and which can be used as arguments of functions that require sources of randomness, e.g. discrete event models, Monte Carlo integration or other stochastic simulations.

The instances of objects of this class and its subclasses are independent, i.e., sampling random numbers from one instance or reseting and changing its state does not effect any other instance. (However, different streams may not be stochastically independent if they are not carefully seeded!)

Additionally there is a mechanismus interface to save and restore such streams, e.g. for the next Rsession, for a reruning some stochastic calculations with identical input, or for sending the stream object to a slave node in parallel computing via MPI.

The interface to these classes is inspired by Pierre L'Ecuyers RngStreams package.

Objects from the Class

A virtual Class: No objects may be created from it.

Warning

When "rstream" objects should be used in later Rsessions they must be packed before the current Rsession is stopped and unpacked after the new Rsession has been started and the workspace image has been reloaded.

References

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(6), 1073-1075.

See Also

rstream.lecuyer-class, rstream.runif-class. rstream.antithetic-methods, rstream.clone-methods, rstream.incprecision-methods, rstream.name-methods, rstream.packed-methods, rstream.reset-methods, rstream.sample-methods, rstream.nextsubstream-methods, rstream.RNG.