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SCHEDULE: NOV 12-18, 2011

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Parallel Random Numbers: As Easy as 1, 2, 3

SESSION: Best Paper Finalists

EVENT TYPE: Paper, Best Paper (BP) Finalist

TIME: 2:15PM - 3:00PM

AUTHOR(S):John K. Salmon, Mark A. Moraes, Ron O. Dror, David E. Shaw


Most pseudorandom number generators (PRNGs) scale poorly to massively parallel high-performance computation because they are designed as sequentially dependent state transformations. We demonstrate that independent, keyed transformations of counters produce a large alternative class of PRNGs with excellent statistical properties (long period, no discernable structure or correlation). These “counter-based” PRNGs are ideally suited to modern multicore CPUs, GPUs, clusters, and special-purpose hardware because they vectorize and parallelize well, and require little or no memory for state. We introduce several counter-based PRNGs: some based on cryptographic standards (AES, Threefish) and some completely new (Philox). All our PRNGs pass rigorous statistical tests (including TestU01’s BigCrush) and produce at least 2^64 unique parallel streams of random numbers, each with period 2^128 or more. In addition to essentially unlimited parallel scalability, our PRNGs offer excellent single-chip performance: Philox is faster than the CURAND library on a single NVIDIA GPU.

Chair/Author Details:

John K. Salmon - D.E. Shaw Research

Mark A. Moraes - D.E. Shaw Research

Ron O. Dror - D.E. Shaw Research

David E. Shaw - D.E. Shaw Research

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The full paper can be found in the ACM Digital Library

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