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TRNG - A modern C++ pseudo random number generator library

Key features

  • fully compatible with the C++11 random number facility as defined in <random>
  • implements various pseudo random number algorithms
  • supports multiple streams of random numbers for parallel (multi-threaded) applications
  • does not depend on a specific parallelization technique, may be used with any threading library or MPI
  • pseudo random numbers can be sampled from many different distributions
  • bindings for the R programming language provided via rTRNG package, see also this blog post

Documentation

For installation instructions and documentation read trng.pdf in the doc directory.

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state of the art C++ pseudo-random number generator library for sequential and parallel Monte Carlo simulations

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