Awesome

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 (multithreaded) 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 discrete and continuous distributions
• employs the CMake build system and features CMake package support
• bindings for the R programming language provided via rTRNG package, see also this blog post or this presentation

Example

TRNG classes can be used as a drop-in replacement for classes declared in the random header file of the C++ standard library. In addition, the TRNG random number generators provide jump and split methods for constructing independent streams of pseudo random numbers for parallel Monte Carlo simulations. The following code illustrates the use of TRNG pseudo random number generators for the parallel Monte Carlo calculation of pi.

#include <cstdlib>
#include <iostream>
#include <omp.h>
#include <trng/yarn2.hpp>
#include <trng/uniform01_dist.hpp>

int main() {
  const long samples{1000000l};  // total number of points in square
  long in{0l};                   // number of points in circle
  // distribute workload over all processes and make a global reduction
#pragma omp parallel reduction(+ : in) default(none)
  {
    trng::yarn2 r;                          // random number engine
    const int size{omp_get_num_threads()};  // get total number of processes
    const int rank{omp_get_thread_num()};   // get rank of current process
    trng::uniform01_dist<> u;               // random number distribution
    r.jump(2 * (rank * samples / size));    // jump ahead
    // throw random points into square
    for (long i{rank * samples / size}; i < (rank + 1) * samples / size; ++i) {
      const double x{u(r)}, y{u(r)};  // choose random x- and y-coordinates
      if (x * x + y * y <= 1.0)       // is point in circle?
        ++in;                         // increase thread-local counter
    }
  }
  // print result
  std::cout << "pi = " << 4.0 * in / samples << std::endl;
  return EXIT_SUCCESS;
}

Documentation

For installation instructions and further documentation see the trng.pdf file in the doc directory.