Using random numbers with GPUs

Question

I\'m investigating using nvidia GPUs for Monte-Carlo simulations. However, I would like to use the gsl random number generators and also a parallel random number generator such

Answer 1

I've just found that NAG provide some RNG routines. These libraries are free for academics.

Answer 2

You will have to implement them by yourself.

Answer 3

The GSL manual recommends the Mersenne Twister.

The Mersenne Twister authors have a version for Nvidia GPUs. I looked into porting this to the R package gputools but found that I needed excessively large number of draws (millions, I think) before the combination of 'generate of GPU and make available to R' was faster than just drawing in R (using only the CPU).

It really is a computation / communication tradeoff.

Answer 4

Massive parallel random generation as you need it for GPUs is a difficult problem. This is an active research topic. You really have to be careful not only to have a good sequential random generator (these you find in the literature) but something that guarantees that they are independent. Pairwise independence is not sufficient for a good Monte Carlo simulation. AFAIK there is no good public domain code available.

Answer 5

Use the Mersenne Twister PRNG, as provided in the CUDA SDK.

Answer 6

Here we use sobol sequences on the GPUs.