[adolgert]

Do the Monte Carlo people all know about Barash and Shchur's work? They made an RNGSSELIB and PRAND (using NVIDIA cards), but the main contribution is that they incorporated a new way to generate multiple streams not by re-seeding the generator but by skipping ahead, even with Mersenne twisters. It is the only simple way to get parallel streams, and it didn't exist just a few years ago. You still need to be careful in various ways, but this helps a lot. A lot, a lot.

[1] http://arxiv.org/pdf/1307.5866.pdf

[pbsd]

Skipping ahead is not new; it is a well-known fact that any linearly recurrent generator, such as WELL, Xorshift, or Mersenne Twister can skip ahead via matrix exponentiation.

And it is not the only way to get good independent streams either; hooking a cipher with a counter is arguably a superior way to do it, cf [1].

[1] http://www.thesalmons.org/john/random123/papers/random123sc1...

[adolgert]

I like that paper. Thank you. It has references which criticize the skipahead technique. I need to look into whether I believe that paper, though. There are lots of ideas about how to do this, and subtle flaws abound. While many generators are known to skipahead, there is a quite new technique for MT that makes it much faster, not by Barash and Shchur, but they used it. Again, thanks.

[wtracy]

A million times thank you for that link! I've been needing something exactly like that for a pet project of mine.

[kneth]

If you're interested in Monte Carlo techniques for statistical physics, I'll recommend Kurt Binder's "Monto Carlo Simulation in Statistical Physics" (http://www.springer.com/physics/theoretical%2C+mathematical+...).