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).
Abstract
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.
Comments
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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