Random number generation and simulation
on vector and parallel computers
185. R. P. Brent,
Random number generation and simulation on vector and parallel computers
(invited paper),
Proc. Fourth International Euro-Par Conference
(Southampton, UK, 1-4 Sept 1998),
D. Pritchard and J. Reeve (editors),
Lecture Notes in Computer Science, Vol. 1470,
Springer-Verlag, Berlin, 1998, 1-20.
Preprint:
dvi (33K),
pdf (261K),
ps (89K).
Paper:
available from
SpringerLink.
Abstract
Pseudo-random numbers are often required for simulations performed
on parallel computers. The requirements for parallel random number
generators are more stringent than those for sequential random number
generators. As well as passing the usual sequential tests on each processor,
a parallel random number generator must give different, independent sequences
on each processor.
We consider the requirements for a good parallel random number generator,
discuss generators for the uniform and normal distributions,
and describe a new class of generators for the normal distribution, based
on a proposal by Chris Wallace
[ ACM Transactions on Mathematical Software 22 (1996), 119-127].
These generators can give very fast vector
or parallel implementations. Implementations of uniform and normal
generators on vector and vector/parallel computers are discussed.
Comments
Related papers are
[132,
133,
141,
170,
211,
213,
217,
224].
Fortran 77 implementations of some uniform and normal random number
generators are available here.
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