Pseudo-random streams for distributed and parallel stochastic simulations on GP-GPU

Abstract

Random number generation is a key element of stochastic simulations. It has been widely studied for sequential applications purposes, enabling us to reliably use pseudo-random numbers in this case. Unfortunately, we cannot be so enthusiastic when dealing with parallel stochastic simulations. Many applications still neglect random stream parallelization, leading to potentially biased results. In particular parallel execution platforms, such as Graphics Processing Units (GPUs), add their constraints to those of Pseudo-Random Number Generators (PRNGs) used in parallel. This results in a situation where potential biases can be combined with performance drops when parallelization of random streams has not been carried out rigorously. Here, we propose criteria guiding the design of good GPU-enabled PRNGs. We enhance our comments with a study of the techniques aiming to parallelize random streams correctly, in the context of GPU-enabled stochastic simulations.

Keywords:

• stochastic simulations
• GP-GPU
• pseudo-random number generators
• random stream parallelization