[R-pkgs] new R package dqrng

[Ralf Stubner]

Dear R users,

A new package, dqrng, is available on CRAN:

dqrng: Fast Pseudo Random Number Generators

Several fast random number generators are provided as C++ header only
libraries: The PCG family by O'Neill (2014
<https://www.cs.hmc.edu/tr/hmc-cs-2014-0905.pdf>) as well as
Xoroshiro128+ and Xoshiro256+ by Blackman and Vigna (2018
<arXiv:1805.01407>). In addition fast functions for generating random
numbers according to a uniform, normal and exponential distribution are
included. The latter two use the Ziggurat algorithm originally proposed
by Marsaglia and Tsang (2000, <doi:10.18637/jss.v005.i08>). These
functions are exported to R and as a C++ interface and are enabled for
use with the 64 bit version of the Mersenne-Twister by Matsumoto and
Nishimura (1998 <doi:10.1145/272991.272995>), the default 64 bit
generator from the PCG family as well as Xoroshiro128+ and Xoshiro256+.

Using the provided RNGs from R is deliberately similar to using R’s
build-in RNGs:

library(dqrng)
dqRNGkind("Xoroshiro128+")
dqset.seed(42)
dqrunif(5, min = 2, max = 10)
#> [1] 4.498747 9.647875 5.232044 6.176499 8.453008
dqrexp(5, rate = 4)
#> [1] 0.5520084 0.1982174 0.3281557 0.1913137 0.7544450

They are quite a bit faster, though:

N <- 1e7
system.time(rnorm(N))
#>    user  system elapsed
#>   0.650   0.005   0.654
system.time(dqrnorm(N))
#>    user  system elapsed
#>   0.059   0.012   0.072

Greetings
Ralf

-- 
Ralf Stubner
Senior Software Engineer / Trainer

daqana GmbH
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