Random numbers depend on version of mkl libraries

Random numbers depend on version of mkl libraries

lillian
Tue, 07/10/2012 - 07:07

I have been using the intel mkl library for about a year, but still consider myself new to it. I have found that different versions of the library output different random numbers. Specifically I am using thevdRngGaussian function with inputVSL_RNG_METHOD_GAUSSIAN_ICDF on mac osx. The differences in the random numbers appear to be in about the ninth decimal places for mean zero std 1 normal distribution. Is there a mistake in the libraries?

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Andrey N. (Intel)
Tue, 07/10/2012 - 07:35

Hello,

Intel MKL VSL Random Number Generators do not guarantee bitwise results betweenversions of the library. Optimizations we do in thealgorithms of the generatorscan result into those fluctuations, there is no a bug in the library.

Can you please provide additional details why ~10^(-9)difference in the output of Gaussian RNG is important for your applications?

Also, you might want to have a look at Intel MKL 11 Beta, http://software.intel.com/en-us/articles/intel-mkl-11dot0/ which provides a new Conditional Bitwise Reproducibility feature.

Thanks,
Andrey

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lillian
Tue, 07/10/2012 - 08:04

Thank you for the quick reply. I don't necessarily need that level of accuracy. I would just like to be sure that differences in outcome of my code represent changes to the code that I make rather than changes that are made by intel. But now that I know, it's no big deal. Thank you.

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