Random Number Generation with Multiple Streams for Sequential and Parallel Computing

2/16/2017 | 4:15pm | E51-335
Reception to follow.


 

 

 

 

Pierre L'Ecuyer

Canada Research Chair in Stochastic Simulation and Optimization
University of Montreal


Abstract: We provide a review of the state of the art on the design and implementation of random number generators for simulation, on both sequential and parallel computing environments. We focus on the need for multiple independent streams and substreams of random numbers, explain how they can be constructed and managed, review software libraries that offer them, and illustrate their usefulness via examples. We also review the basic quality criteria for good random number generators and their theoretical and empirical testing.

Bio: Pierre L’Ecuyer is a Professor in the Département d’Informatique et de Recherche Opérationnelle at the Université de Montréal, since 1990. He holds the Canada Research Chair in Stochastic Simulation and Optimization since 2004 and an Inria International Chair (at Inria-Rennes, France) for 2013–2018. He was a professor in the Département d’Informatique at Université Laval (Québec) from 1983 to 1990. He is a member of the CIRRELT and GERAD research centers, in Montreal.

He has published 260 scientific articles, book chapters, and books in various areas, including random number generation, quasi-Monte Carlo methods, efficiency improvement in simulation, sensitivity analysis and optimization for discrete-event simulation models, simulation software, stochastic dynamic programming, and applications in finance, manufacturing, telecommunications, reliability, and service center management. He also developed software libraries and systems for the theoretical and empirical analysis of random number generators and quasi-Monte Carlo point sets, and for general discrete-event simulation. His Google Scholar H-index is 56 and his I10 index is 157.

He has been a referee for 140 different scientific journals, past Editor-in-Chief for the ACM Transactions on Modeling and Computer simulation, and is currently Associate Editor for ACM Transactions on Mathematical Software, Statistics and Computing, and International Transactions in Operational Research.

He obtained the Canadian Operational Research Society Award of Merit in 2014, the INFORMS Simulation Society Distinguished Service Award in 2011, the INFORMS Simulation Society Outstanding Research Publication Award twice, in 1999 and 2009, a Killam Research Fellowship in 2001-03, the Urgel-Archambault Prize from ACFAS in 2002, Steacie Fellowship from NSERC-Canada in 1995-97, and was elected INFORMS Fellow in 2006.

He is a competitive cyclist in road racing, with four titles of Canadian champion and eleven titles of Québec Champion.

Event Time: 

2017 - 16:15