mclements / csharp-rngstream

C# implementation of the RngStream library

Rngstream random number generators for C#

Introduction

RngStream

RngStreams is an object-oriented random-number package with many long streams and substreams, based on the MRG32k3a RNG from reference [fn:1] below and proposed in [fn:2].

It has implementations in C, C++, Java, R, and some other languages. The main description and documentation is in the c++ directory, in the paper streams.pdf. Directories c and java gives a short description of the interfaces in C and Java, respectively.

The package is copyrighted by Pierre L’Écuyer and the University of Montreal. It can be used freely for any purpose.

E-mail: mailto:[e-mail]

http://www.iro.umontreal.ca/~lecuyer/

If you use it for your research, please cite the relevant publications in which MRG32k3a and the package with multiple streams were proposed.

C# implementation

This code is adapted from the Java implementation. The implementation:

• Inherits from System.Random
• Constructors:

  RngStream()

  initially use the seed {12345u,12345u,12345u,12345u,12345u,12345u} and then subsequently advances to the next stream

  RngStream(string name)

  to set the stream name

  RngStream(int seed)

  with equivalent seed behaviour as R’s set.seed(seed).

• Standard RngStream methods:

  void SetPackageSeed(uint[])

  to set the package seed

  void ResetStartStream()

  to reset to the start of the stream

  void ResetNextSubstream()

  to reset to the start of the sub-stream

  void SetAntithetic(bool)

  to determine whether to use antithetic sampling (default=false)

  void IncreasedPrecis(bool)

  to determine whether to use increased precision (default=false)

  void SetSeed(uint[])

  set the stream seeds (note: does not change the package seed)

  double[] GetState()

  returns the current seed

  void WriteState()

  write a brief description to the console

  void WriteStateFull()

  write a full description to the console

• New methods

  void AdvanceState(int e,int c)

  increment the current seed by \(2^e+c\)

  void AdvanceSubstream(int e,int c)

  increment the substream seed by \(2^e+c\) using substream steps and change the current seed to the same value

  void AdvanceStream(int e,int c)

  increment the current stream by \(2^e+c\) using stream steps and change the current seed and substream to the same value

Example

Using C# and the RngStream.cs file:

using System;
class HelloWorld {
    public static void Main()
    {
	  RngStream rng1 = new RngStream(); // defaults to {12345u,12345u,12345u,12345u,12345u,12345u}
	  Console.WriteLine(rng1.NextDouble()+" "+rng1.NextDouble());
	  RngStream rng2 = new RngStream(12345);
	  Console.WriteLine(rng2.NextDouble()+" "+rng2.NextDouble());
	  rng2.ResetNextSubstream();
	  Console.WriteLine(rng2.NextDouble()+" "+rng2.NextDouble());
	  rng2.ResetNextStream();
	  Console.WriteLine(rng2.NextDouble()+" "+rng2.NextDouble());
    }
}

0.127011122046577 0.318527565396794
0.0724408950348632 0.769887841571279
0.698103786494021 0.186421477183622
0.485965335294788 0.15088750221408

Equivalent code in R:

library(parallel)
RNGkind("L'Ecuyer-CMRG")
## Note that 407 is the index for this type of random number generator
.Random.seed <- c(407L,12345L,12345L,12345L,12345L,12345L,12345L)
print(runif(2))
set.seed(12345)
Ig <- Bg <- .Random.seed
print(runif(2))
.Random.seed <- Bg <- parallel::nextRNGSubStream(Bg)
print(runif(2))
.Random.seed <- Ig <- Bg <- parallel::nextRNGStream(Ig)
print(runif(2))

[1] 0.1270111 0.3185276
[1] 0.0724409 0.7698878
[1] 0.6981038 0.1864215
[1] 0.4859653 0.1508875

[fn:1] P. L’Ecuyer, “Good Parameter Sets for Combined Multiple Recursive Random Number Generators”, Operations Research, 47, 1 (1999), 159–164.

[fn:2] P. L’Ecuyer, R. Simard, E. J. Chen, and W. D. Kelton, “An Objected-Oriented Random-Number Package with Many Long Streams and Substreams”, Operations Research, 50, 6 (2002), 1073–1075