RNGLIB
A Package of Random Number Generators (RNG's) with Splitting Facilities


RNGLIB is a MATLAB library which implements random number generators (RNG's) which can generate one or more streams of random numbers.

RNGLIB is a portable set of software tools for uniform random variate generation. It provides for multiple generators running simultaneously, and each generator has its sequence of numbers partitioned into many long disjoint substreams. Simple procedure calls allow the user to make any generator jump ahead to the beginning of its next substream.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

RNGLIB is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version and a PYTHON version.

Related Data and Programs:

ASA183, a MATLAB library which implements the Wichman-Hill random number generator (RNG).

FAURE, a MATLAB library which computes elements of a Faure quasirandom sequence.

HALTON, a MATLAB library which computes elements of a Halton quasirandom sequence.

HAMMERSLEY, a MATLAB library which computes elements of a Hammersley quasirandom sequence.

MATLAB_RANDOM, MATLAB programs which illustrate the use of Fortran's random number generator (RNG) functions.

NIEDERREITER2, a MATLAB library which computes elements of a Niederreiter quasirandom sequence with base 2.

NORMAL, a MATLAB library which implements random number generators (RNG's) for normally distributed values.

PDFLIB, a MATLAB library which evaluates Probability Density Functions (PDF's) and produces random samples from them, including beta, binomial, chi, exponential, gamma, inverse chi, inverse gamma, multinomial, normal, scaled inverse chi, and uniform.

RANDLC, a MATLAB library which implements a random number generator (RNG) used by the NAS Benchmark programs.

RANDOM_SORTED, a MATLAB library which generates vectors of random values which are already sorted.

RANLIB, a MATLAB library which produces random samples from Probability Density Functions (PDF's), including Beta, Chi-square Exponential, F, Gamma, Multivariate normal, Noncentral chi-square, Noncentral F, Univariate normal, random permutations, Real uniform, Binomial, Negative Binomial, Multinomial, Poisson and Integer uniform, by Barry Brown and James Lovato.

SOBOL, a MATLAB library which computes elements of a Sobol quasirandom sequence.

UNIFORM, a MATLAB library which implements random number generators (RNG's) for a variety of arithmetic types.

VAN_DER_CORPUT, a MATLAB library which computes elements of a van der Corput quasirandom sequence.

ZIGGURAT, a MATLAB program which generates points from a uniform, normal or exponential distribution, using the ziggurat method.

Reference:

  1. Pierre LEcuyer, Serge Cote,
    Implementing a Random Number Package with Splitting Facilities,
    ACM Transactions on Mathematical Software,
    Volume 17, Number 1, March 1991, pages 98-111.

Source Code:

Examples and Tests:

You can go up one level to the MATLAB source codes.


Last revised on 27 July 2015.