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On POSIX systems, you can accomplish this with setjmp() and longjmp() calls. That has the benefit of being portable across different architectures.
Why would you do something like this rather than just using function objects for your generators?

    class FunctionObject {
        //internal state as member variables
      public:
        FunctionObject() { /* ... */ }
        returnType operator()() { /* Calculate next step */ }
    };
Because keeping the internal state implicitly (in loops, etc) can make the code much cleaner. See, e.g., http://wiki.python.org/moin/Generators
While it may look cleaner on the surface, I don't think this sort of hackery actually is cleaner. Are you certain this solution will work with multiple threads? What if a signal is received during one of these calls? Are you sure it will work across all architectures? Operating systems?

I prefer to stay within a language's semantics if possible; it reduces these sorts of concerns. For C++, that would mean using function objects.

His code is also non-portable, and non-standard.

I haven't been able to get it to compile on my system yet, but I don't see anywhere that he's capturing the variables on the stack, so while you may be able to jump back to your position after one call, you'll loose whatever parameters you passed (assuming you don't simply crash). Also, since it seems to depend on a static variable hidden within the function, I doubt it will work even in single threaded programs if you need multiple generators.

This is just my five minute analysis though, so grain of salt and all that.

As I noted below, you can solve the stack problem with setjmp() and longjmp(). But that's only portable across different Unixes, not across all systems which will have C++.

But, yes, I am in agreement: function objects are the better solution to this problem in C++. This sort of hackery, while neat, leads to a rats nest of problems.

The code provided isn't storing any internal state (aside from the resume location) as far as I can see. The generator thus generated isn't reentrant and has other flaws, but those pale to nothing when you consider that nothing on the stack is preserved..
This implementation: http://www.terrainformatica.com/index.php/?p=98 is even more portable, by applying some brutal but standards-compliant abuse to the switch statement. The price is that you cannot have another switch statement within your generator. Well, you can live with that if you still have some spare if/then/else constructs in your basement.
Misspelled words, geocities website, "I developed this using VC++ 6.0", and the code is highly unportable and does not save the stack so it's borderline useless.

Not to diminish the author, who probably has good potential, but I don't think this article is really of HN quality.

Isn't better to use a threads library for achieving this?
Interesting, but I wonder whether Go-style "go routines" and channels would be a better choice to implement.

First, it seems like they would be easier to write in C++. You're mostly creating a new kind of pseudo-container (channel), instead of trying to fake adding new syntax to the language. (Although you do still need to have some mechanism for executing a go routine, somehow ....)

Second, its a more powerful abstraction. With go routines it's not hard to implement something with the functionality of Python-esque generators, but you can also do fancier things that you would have a difficult time doing using only generators.