使用带有GPU的随机数 [英] Using random numbers with GPUs

问题描述

我使用蒙特卡罗模拟的NVIDIA GPU调查。不过，我想用GSL随机数生成器，也是一个并行随机数发生器，如SPRNG。有谁知道这是否可能？

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 as SPRNG. Does anyone know if this is possible?

更新

我打得关于使用GPU的RNG。在present还没有一个很好的解决方案。该SDK附带的梅森倍捻机是不是真的适合（我的）蒙特卡罗模拟，因为它需要一个非常长的时间来产生种子。

I've played about with RNG using GPUs. At present there isn't a nice solution. The Mersenne Twister that comes with the SDK isn't really suitable for (my) Monte-Carlo simulations since it takes an incredibly long time to generate seeds.

NAG算法库是更有前途。您可以生成或者分批或单个线程注册护士。但是，只有少数分布，目前支持 - 一致，指数和正常

The NAG libraries are more promising. You can generate RNs either in batches or in individual threads. However, only a few distributions are currently supported - Uniform, exponential and Normal.

推荐答案

在GSL手册的建议梅森倍捻机。

梅森倍捻机作者有一个的版本的NVIDIA GPU 。我看着这个移植到R包 gputools 却发现我需要过大的数量平（百万，我认为）的组合前'的GPU产生并提供给R'比（仅使用CPU）中的R只是画得更快。

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).

这真的是一个计算/通信权衡。

It really is a computation / communication tradeoff.

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