RNGAVXLIB: Program library for random number generation, AVX realization

Abstract

Abstract The library RNGSSELIB for random number generators (RNGs) based upon the SSE2 command set is presented. The library contains realization of a number of modern and most reliable generators. Usage of SSE2 command set allows to substantially improve performance of the generators. Three new RNG realizations are also constructed. We present detailed analysis of the speed depending on compiler usage and associated optimization level, as well as results of extensive statistical testing for all generators using available test packages. Fast SSE implementations produce exactly the same output sequence as the original algorithms. Program summary Program title: RNGSSELIB Catalogue identifier: AEIT_v1_0 Program summary URL: http://cpc.cs.qub.ac.uk/summaries/AEIT_v1_0.html Program obtainable from: CPC Program Library, Queenʼs University, Belfast, N. Ireland Licensing provisions: Standard CPC licence, http://cpc.cs.qub.ac.uk/licence/licence.html No. of lines in distributed program, including test data, etc.: 4177 No. of bytes in distributed program, including test data, etc.: 21 228 Distribution format: tar.gz Programming language: C. Computer: PC. Operating system: UNIX, Windows. RAM: 1 Mbytes Classification: 4.13. Nature of problem: Any calculation requiring uniform pseudorandom number generator, in particular, Monte Carlo calculations. Solution method: The library contains realization of a number of modern and reliable generators: mt19937 , mrg32k3a and lfsr113 . Also new realizations for the method based on parallel evolution of an ensemble of dynamical systems are constructed: GM19 , GM31 and GM61 . The library contains both usual realizations and realizations based on SSE command set. Usage of SSE commands allows the performance of all generators to be substantially improved. Restrictions: For SSE realizations of the generators, Intel or AMD CPU supporting SSE2 command set is required. In order to use the realization lfsr113sse , CPU must support SSE4 command set. Running time: Running time is of the order of 20 sec for generating 109 pseudorandom numbers with a PC based on Intel Core i7-940 CPU. Running time is analysed in detail in Section 5 of the paper.