NUMERICAL REPRODUCIBILITY, PORTABILITY AND PERFORMANCE OF MODERN PSEUDO RANDOM NUMBER GENERATORS
Stochastic simulation is of key importance for scientific computing. Parallel stochastic simulations are becoming popular since the Monte Carlo method is easily parallelized. However, the main interests we observe in related publications deal with the following issues: simulation performance, a...
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| Format: | Article |
| Language: | English |
| Published: |
2016
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| Subjects: | |
| Online Access: | http://repository.vnu.edu.vn/handle/VNU_123/9836 |
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| Institution: | Vietnam National University, Hanoi |
| Language: | English |
| Summary: | Stochastic simulation is of key importance for scientific
computing. Parallel stochastic simulations are becoming
popular since the Monte Carlo method is easily parallelized.
However, the main interests we observe in related
publications deal with the following issues: simulation
performance, applicability of the simulation, model design,
etc. Even if these interests are justified, accuracy and
reproducibility, especially for numerical simulation
experiments, must remain a major concern in the process of
increasing and diffusing scientific knowledge. We recently
realized that this essential question of reproducibility is
sometimes overlooked. In this paper we study the essence of
reproducibility for stochastic simulations by focusing on
some of the best random number generators because they are
at the heart of stochastic simulations. We have identified
some reproducibility problems linked to different compilers,
operating systems and also with a virtual machine. In this
paper, we check the portability and performances of modern
pseudo-random number generators that are tested on hybrid
computing nodes with the latest Xeon Phi processors. |
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