Several fast random number generators are provided as C++ header only libraries: The PCG family by O'Neill (2014 https://www.cs.hmc.edu/tr/hmc-cs-2014-0905.pdf) as well as the Xoroshiro / Xoshiro family by Blackman and Vigna (2021 doi:10.1145/3460772 ). In addition fast functions for generating random numbers according to a uniform, normal and exponential distribution are included. The latter two use the Ziggurat algorithm originally proposed by Marsaglia and Tsang (2000, doi:10.18637/jss.v005.i08 ). The fast sampling methods support unweighted sampling both with and without replacement. These functions are exported to R and as a C++ interface and are enabled for use with the default 64 bit generator from the PCG family, Xoroshiro128+/++/** and Xoshiro256+/++/** as well as the 64 bit version of the 20 rounds Threefry engine (Salmon et al., 2011, doi:10.1145/2063384.2063405 ) as provided by the package 'sitmo'.
Useful links: