Randompack: Cross-Platform Reproducible Random Number Generation and Distribution Sampling

TL;DR

Randompack is an open-source C library offering fast, reproducible cross-platform random number generation and sampling, supporting multiple engines and distributions with language bindings and parallel simulation features.

Contribution

It introduces a versatile, high-performance C library with cross-language reproducibility and extensive distribution support, surpassing existing libraries in speed and compatibility.

Findings

Randompack is faster than competing libraries, with up to 15x speedup.

It provides reproducible results across languages, architectures, and compilers.

Supports multiple engines and distributions, with comprehensive parallel simulation features.

Abstract

A C library for random number generation, Randompack, is presented. The library implements several modern random number generators (engines), including xoshiro256, PCG64, Philox, ranlux++, and sfc64; 14 continuous distributions including uniform, normal, exponential, gamma, beta, and multivariate normal; raw bit streams, bounded integers, permutations, and sampling without replacement. The engine and the distribution layers are separated so any engine can be used with any distribution. Benchmarks show that Randompack is faster overall than competing libraries, with speedup factors ranging from about 1 to 15 depending on engine, distribution, interface, and platform. A distinguishing feature is reproducibility: with the same seeds Randompack gives compatible results across programming languages, computers, CPU architectures, and compilers. The library includes comprehensive support for parallel simulation. It is accompanied by a comprehensive test suite, benchmarking programs, and example programs. Interfaces to Fortran, Python, Julia, and R have been implemented; their benchmark results are included, although their design and implementation are otherwise outside the scope of the article. Unlike other available C libraries with comparable scope, Randompack is permissively licensed under the MIT license, and it is open source and publicly available through GitHub and conda-forge.