PRAND: GPU accelerated parallel random number generation library: Using most reliable algorithms and applying parallelism of modern GPUs and CPUs

Abstract

The library PRAND for pseudorandom number generation for modern CPUs and GPUs is presented. It contains both single-threaded and multi-threaded realizations of a number of modern and most reliable generators recently proposed and studied in [1,2,3,4,5] and the efficient SIMD realizations proposed in [6]. One of the useful features for using PRAND in parallel simulations is the ability to initialize up to $10^{19}$ independent streams. Using massive parallelism of modern GPUs and SIMD parallelism of modern CPUs substantially improves performance of the generators.