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6 - Monte Carlo Applications

Published online by Cambridge University Press:  04 May 2022

Richard Ansorge
Affiliation:
University of Cambridge
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Summary

Chapter 6 explains the CUDA random number generators provided by the cuRAND library. The CUDA XORWOW generator was found to be the fastest generator in the cuRAND library. The classic calculation of pi by generating random numbers inside a square is used as a test case for the various possibilities on both host CPU and the GPU. A kernel using separate generators for each thread is able to generate about1012 random numbers per second and is about 20 000 times faster than the simplest host CPU version running on a single core. The inverse transform method for generating random numbers from any distribution is explained. A 3D Ising model calculation is presented as a more interesting application of random numbers.The Ising example has a simple interactive GUI based on OpenCV.

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Chapter
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Programming in Parallel with CUDA
A Practical Guide
, pp. 178 - 208
Publisher: Cambridge University Press
Print publication year: 2022

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