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Independent Streams. Block-Splitting and Leapfrogging

One of the basic requirements for random number streams is their mutual independence and lack of intercorrelation. Even if you want random number samplings to be correlated, such correlation should be controllable.
You can get independent streams using various methods. This document discusses the following methods supported by VS:
  1. Using different parameter sets. For each stream, you may use the same type of generators (for example, linear congruential generators), but choose their parameters in such a way as to produce independent random number sequences. For example, the Mersenne Twister generator has 6024 parameter sets, which ensure that the resulting subsequences are independent (see [Matsum2000] for details). Another example is WH generator that can create up to 273 random number streams. The produced sequences are independent according to the spectral test (see [Knuth81] for the spectral test details).
  2. Block-splitting. Split the original sequence into
    k
    non-overlapping blocks, where
    k
    is the number of independent streams. Each of the streams generates random numbers only from the corresponding block. This method is known as block-splitting or skipping-ahead.
  3. Leapfrogging. Split the original sequence into
    k
    disjoint subsequences, where
    k
    is the number of independent streams, in such a way that the first stream would generate the random numbers
    x
    1
    ,
    xk
    +1
    ,
    x
    2
    k
    +1
    ,
    x
    3
    k
    +1
    , ..., the second stream would generate the random numbers
    x
    2
    ,
    xk
    +2
    ,
    x
    2
    k
    +2
    ,
    x
    3
    k
    +2
    , ..., and, finally, the k-th stream would generate the random numbers
    xk
    ,
    x
    2
    k
    ,
    x
    3
    k
    , ... However, multidimensional uniformity properties of each subsequence deteriorate seriously as
    k
    grows. The method is useful if
    k
    is fairly small.
Karl Entacher presents data on inadequate subsequences produced by some commonly used linear congruential generators [Ent98].
VS permits you to use any of the above methods. Leapfrog and skip-ahead (block-split) methods are considered below in more detail.
Block-Splitting Method
VS implements block-splitting through
vslSkipAheadStream and vslSkipAheadStreamEx
functions:
vslSkipAheadStream( stream, nskip ) vslSkipAheadStreamEx( stream, n, nskip )
The functions change the current state of the stream
stream
so that with the further call of the generator the output subsequence begins with the element
xnskip
rather than with the current element
x0
.
Function
vslSkipAheadStream
supports number of skipped elements up to 2
63
.
Function
vslSkipAheadStreamEx
extends it by providing support for number of skipped elements greater than 2
63
.
Before calling this function, you should represent the number of skipped elements in the following format:
Number of skipped elements = nskip[0] + nskip[1] * 2
64
+nskip[2] * 2
128
+ ... + nskip[n-1] * 2
64*(n-1)
,
For example, if you want to skip 2
128
elements you should represent them as follows:
Number of skipped elements  = 0 * 2
0
* 2
64
+ 1 * 2
128
Then you should call
vslSkipAheadStreamEx
function.
VSLStreamStatePtr stream;
MKL_UINT64 nskip[3];
nskip[0]=0;
nskip[1]=0;
nskip[2]=1;
vslNewStream( &stream, brng, seed );
vslSkipAheadStreamEx( stream, 3, nskip);
You can use either
vslSkipAheadStream
or
vslSkipAheadStreamEx
to skip numbers of elements smaller than 2
63
.
Thus, if you wish to split the initial sequence into nstreams blocks of
nskip
size each, use the following sequence of operations:
Option 1
VSLStreamStatePtr stream[nstreams]; int k; for ( k=0; k<nstreams; k++ ) { vslNewStream( &stream[k], brng, seed ); vslSkipAheadStream( stream[k], nskip*k ); }
Option 2
VSLStreamStatePtr stream[nstreams]; int k; vslNewStream( &stream[0], brng, seed ); for ( k=0; k<nstreams-1; k++ ) { vslCopyStream( &stream[k+1], stream[k] ); vslSkipAheadStream( stream[k+1], nskip ); }
Leapfrog Method
VS implements the leapfrog method through function
vslLeapfrogStream
:
vslLeapfrogStream( stream, k, nstreams )
The function changes the stream
stream
so that the further call of the generator generates the output subsequence
xk, xk+nstreams, xk+2nstreams, ...
rather than the output sequence
x0, x1, x2, ...
. Thus, if you wish to split the initial sequence into nstreams subsequences, the following sequence of operations should be implemented:
VSLStreamStatePtr stream[nstreams]; int k; for ( k=0; k<nstreams; k++ ) { vslNewStream( &stream[k], brng, seed ); vslLeapfrogStream( stream[k], k, nstreams ); }
Note
Block-splitting and leapfrog methods make programming with vector random number generators easier both in parallel applications and in sequential programs.
Not all VS BRNGs support both these methods of generating independent subsequences. The Leapfrog method is supported only when a BRNG provides a more efficient implementation than generation of the full sequence to pick out a required subsequence. The following table specifies the methods supported by different BRNGs:
BRNG
Leapfrog
Block-Splitting
(
vslSkipAheadStream
)
Block-Splitting
(
vslSkipAheadStreamEx
)
MCG31m1
Supported
Supported
-
R250
-
-
-
MRG32k3a
-
Supported
Supported
MCG59
Supported
Supported
-
WH
Supported
Supported
-
MT19937
-
Supported
-
SFMT19937
-
Supported
-
MT2203
-
-
-
SOBOL
Supported to pick out individual components of quasi-random vectors
Supported
-
NIEDERREITER
Supported to pick out individual components of quasi-random vectors
Supported
-
PHILOX4X32X10
-
Supported
Supported
ARS5
-
Supported
Supported
ABSTRACT
-
-
-
NON-DETERMINISTIC
-
-
-
To initialize
nstreams
independent streams for the MT2203 set of generators, you can use the following code sequence:
... #define nstreams 6024 ... VSLStreamStatePtr stream[nstreams]; int k; for ( k=0; k< nstreams; k++ ) { vslNewStream( &stream[k], VSL_BRNG_MT2203+k, seed ); } ...

Product and Performance Information

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Notice revision #20110804