High-Performance Pseudo-Random Number Generation on Graphics Processing Units
Brent, Richard P.
Murray, Lawrence M.
Computer Science - Distributed, Parallel, and Cluster Computing | Statistics - Computation | I.6.8 | 11K45 (Primary) 65C10, 65Y05, 65Y10 (Secondary) | D.1.3 | G.4 | Mathematics - Number Theory | G.3
This work considers the deployment of pseudo-random number generators (PRNGs) on graphics processing units (GPUs), developing an approach based on the xorgens generator to rapidly produce pseudo-random numbers of high statistical quality. The chosen algorithm has configurable state size and period, making it ideal for tuning to the GPU architecture. We present a comparison of both speed and statistical quality with other common parallel, GPU-based PRNGs, demonstrating favourable performance of the xorgens-based approach.