MATH
Random Number Generation:

The default random number generation in STOCHKIT is Rand() from C.

However, users should be aware that the availability and quality of different implementations varies widely.

A second option is the high quality random number generator provided in Scalable Parallel Random Number Generator Library (SPRNG).

Among its many superior features, SPRNG can provide essentialy uncorellated sequences of random number for parallel implementation.

You can download SPRNG from the website http://sprng.cs.fsu.edu/.

Basic Linear Algebra Model:
If you want to develop your own solver within the context of the STOCHKIT framework, these basic linear algebra models may be useful to you.

Because STOCHKIT was initially developed in the Matlab language, we supply this math model to provide a set of operations to ease the transition from MATLAB to C++ development. It is not intended to serve as a general purpose high-performance linear algebra library, but rather to minimize surprises for experienced MATLAB programmers while remaining as efficient as possible.

The Basic Capabilities are outlined here:

• Vector and Matrix Classes (implicitly column-oriented) This helps to construct internal calls to the popular linear algebra Fortran package (LAPACK or LINPACK)

• Indexing Operations (row(), col())

• Scalar-Vector and Scalar-Matrix Operation

• Vector-Vector Operation

• Matrix-Vector Operation (LAPACK)\

• Matrix-Matrix Operation