Package for fast monte carlo simulation

General
1

I am currently using Microsoft R Open, which makes my matrix operations very fast. I still need a R package for fast monte carlo simulation. In general, I need a fast random number generator (actually I am not sure if using Microsoft R Open makes R base random number generator more performant); I also need a fast way of writing for loops. I use foreach package for fast for loops, but haven't test if it is good for monte carlo simulation.

PS: I am not considering writing my code in Rcpp.

2

In Efficient R programming, the authors recommend using the parallel package for fast Monte Carlo:
https://csgillespie.github.io/efficientR/efficient-performance.html#top-5-tips-for-efficient-performance

3

Thanks for your reply. What is the relation between parallel and foreach?

Also, is there any fast random number generator?

4

I'm not sure. Just giving you the pieces of info I know.

Looks like there are some answers on SO and elsewhere re random number generators, but fast is always relative so ¯(°_o)/¯:

https://rdrr.io/cran/dqrng/man/dqrng-functions.html

1 Like
5

Thanks. I have installed them both.

6

This topic was automatically closed 7 days after the last reply. New replies are no longer allowed.

If you have a query related to it or one of the replies, start a new topic and refer back with a link.