Uniform random number generators for supercomputers

132. R. P. Brent, Uniform random number generators for supercomputers, Proc. Fifth Australian Supercomputer Conference, Melbourne, December 1992, 95-104. Also Technical Report TR-CS-92-02, March 1992, 16 pp.

Abstract: dvi (2K), pdf (60K), ps (25K).

Paper: dvi (33K), pdf (191K), ps (80K).

Technical Report: dvi (32K), pdf (195K), ps (86K).

Transparencies: pdf (24K), ps (10K).


We consider the requirements for uniform pseudo-random number generators on modern vector and parallel supercomputers, consider the pros and cons of various classes of methods, and outline what is currently available. We propose a class of random number generators which have good statistical properties and can be implemented efficiently on vector processors and parallel machines. A good method for initialization of these generators is described, and an implementation on a Fujitsu VP 2200/10 vector processor is discussed.


Related theory is given in [133]. Other papers relevant to random number generation are [23, 141, 170, 185, 199, 211].

Fortran 77 implementations of some uniform and normal random number generators are available here.

Sec. 8 of the paper describes an implementation of the "fast jump ahead" idea (using arithmetic modulo the generating polynomial) which was recently rediscovered by Haramoto, Matsumoto, Nishimura, Panneton and L'Ecuyer [INFORMS Journal on Computing 20, 3, Summer 2008, 385-390, DOI: 10.1287/ijoc.1070.0251].

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