Intel® oneAPI Math Kernel Library Developer Reference - C

Basic Generators

VS provides pseudorandom, quasi-random, and non-deterministic random number generators. This includes the following BRNGs, which differ in speed and other properties:

See some testing results for the generators in VS Notes and comparative performance data at https://software.intel.com/en-us/articles/intel-math-kernel-library-documentation.

VS provides means of registration of such user-designed generators through the steps described in Advanced Service Routines.

For some basic generators, VS provides two methods of creating independent random streams in multiprocessor computations, which are the leapfrog method and the block-splitting method. These sequence splitting methods are also useful in sequential Monte Carlo.

In addition, MT2203 pseudorandom number generator is a set of 6024 generators designed to create up to 6024 independent random sequences, which might be used in parallel Monte Carlo simulations. Another generator that has the same feature is Wichmann-Hill. It allows creating up to 273 independent random streams. The properties of the generators designed for parallel computations are discussed in detail in [Coddington94].

You may want to design and use your own basic generators. VS provides means of registration of such user-designed generators through the steps described in Advanced Service Routines.

There is also an option to utilize externally generated random numbers in VS distribution generator routines. For this purpose VS provides three additional basic random number generators:

Such basic generators are called the abstract basic random number generators.

See VS Notes for a more detailed description of the generator properties.

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Notice revision #20110804

This notice covers the following instruction sets: SSE2, SSE4.2, AVX2, AVX-512.