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Implementation of a portable and reproducible parallel pseudorandom number generator

Published: 14 November 1994 Publication History

Abstract

We describe in detail the parallel implementation of a family of additive lagged-Fibonacci pseudorandom number generators. The theoretical structure of these generators is exploited to preserve their well-known randomness properties and to provide a parallel system of distinct cycles. The algorithm presented here solves the reproducibility problem for a far larger class of parallel Monte Carlo applications than has been previously possible. In particular, Monte Carlo applications that undergo "splitting" can be coded to be reproducible, independent both of the number of processors and the execution order of the parallel processes. A library of portable C routines (available from the authors) that implements these ideas is also described.

References

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N. S. Altman, Bit-wise behavior of random number generators, SIAM J. Sci. Stat. Comput. 9 (1988), 941-949.
[2]
R. P. Brent, Uniform Random Number Generators for Supercomputers, Proceedings Fifth Australian Supercomputer Conference, SASC Organizing Committee, 1992, pp. 95-104.
[3]
R. P. Brent, On the periods of generalized Fibonacci recurrences, in the Press, Math. Comput. (1994).
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S. W. Golomb, Shift Register Sequences, Revised Edition, Aegean Park Press, Laguna Hills, California, 1982.
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D. E. Knuth, The Art of Computer Programming, Vol. 2: Seminumerical Algorithms, Second edition, Addison-Wesley, Reading, Massachusetts, 1981.
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G. Marsaglia, A current view of random number generators, Computing Science and Statistics: Proceedings of the XVIth Symposium on the Interface, 1985, pp. 3-10.
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G. Marsaglia and L.-H. Tsay, Matrices and the structure of random number sequences, Linear Alg. and Applic. 67 (1985), 147-156.
[8]
M. Mascagni, S. A. Cuccaro, D. V. Pryor and M. L. Robinson, A fast, high-quality, and reproducible lagged-Fibonacci pseudorandom number generator, submitted, SRC-TR-94-115 (1994).
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S. K. Park and K. W. Miller, Random number generators: good ones are hard to find, Comm of the ACM 31 (1988), 1192-1201.

Cited By

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  • (2000)Algorithm 806: SPRNGACM Transactions on Mathematical Software (TOMS)10.1145/358407.35842726:3(436-461)Online publication date: 1-Sep-2000
  • (1996)Parallel additive lagged Fibonacci random number generatorsProceedings of the 10th international conference on Supercomputing10.1145/237578.237591(102-108)Online publication date: 1-Jan-1996

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cover image ACM Conferences
Supercomputing '94: Proceedings of the 1994 ACM/IEEE conference on Supercomputing
November 1994
840 pages
ISBN:0818666056

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IEEE Computer Society Press

Washington, DC, United States

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Published: 14 November 1994

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Cited By

View all
  • (2000)Algorithm 806: SPRNGACM Transactions on Mathematical Software (TOMS)10.1145/358407.35842726:3(436-461)Online publication date: 1-Sep-2000
  • (1996)Parallel additive lagged Fibonacci random number generatorsProceedings of the 10th international conference on Supercomputing10.1145/237578.237591(102-108)Online publication date: 1-Jan-1996

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