The dqrng package provides fast random number generators (RNG) with good statistical properties for usage with R. It combines these RNGs with fast distribution functions to sample from uniform, normal or exponential distributions. Both the RNGs and the distribution functions are distributed as C++ header-only library.
The currently released version is available from CRAN via
Intermediate releases can also be obtained via drat:
Using the provided RNGs from R is deliberately similar to using R’s build-in RNGs:
They are quite a bit faster, though: