rd1971
11-20-2008, 08:58 AM
Hi,
I'm looking for some recommendation with regard to a pseudo random number generator which permit (fast) jumps to the nth draw in a sequence.
I've tried one from L'Ecuyer (streams/substreams c++ paper, circa 2001) which seems to work very nicely but is a little slow when compared to what I'm trying to replace (Marsaglia/KISS).
I'm aware of the gray code shifting technique applicable to sobol sequences, but I'm only currently considering pseudo random number generators.
I didn't notice any explicit discussion of this in NR3 (many apologies if I missed this - just give me a slap and a reference and I'll be on my way) - does anyone have any recommendations or references I could take a look at?
In my case I'd like to be able to spawn multiple threads and have the generator in each thread suitably configured to draw exactly the same numbers (overall) as I would have obtained had I done the whole calc in a single thread - if you see what I mean. For the two threaded case, I would want to offset the generator for the second thread by the exact number of draws which the first thread is configured to make.
thanks in advance,
Richard.
I'm looking for some recommendation with regard to a pseudo random number generator which permit (fast) jumps to the nth draw in a sequence.
I've tried one from L'Ecuyer (streams/substreams c++ paper, circa 2001) which seems to work very nicely but is a little slow when compared to what I'm trying to replace (Marsaglia/KISS).
I'm aware of the gray code shifting technique applicable to sobol sequences, but I'm only currently considering pseudo random number generators.
I didn't notice any explicit discussion of this in NR3 (many apologies if I missed this - just give me a slap and a reference and I'll be on my way) - does anyone have any recommendations or references I could take a look at?
In my case I'd like to be able to spawn multiple threads and have the generator in each thread suitably configured to draw exactly the same numbers (overall) as I would have obtained had I done the whole calc in a single thread - if you see what I mean. For the two threaded case, I would want to offset the generator for the second thread by the exact number of draws which the first thread is configured to make.
thanks in advance,
Richard.