Parallel Random Number Generation: Long-Range Correlations Among Multiple Processors

Authors:
Karl Entacher;Andreas Uhl;Stefan Wegenkittl
Affiliations:
-;-;-
Venue:
ParNum '99 Proceedings of the 4th International ACPC Conference Including Special Tracks on Parallel Numerics and Parallel Computing in Image Processing, Video Processing, and Multimedia: Parallel Computation
Year:
1999

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Abstract

We use an empirical study based on simple Monte Carlo integrations to exhibit the well known long-range correlations between linear congruential random numbers. In contrast to former studies, our long-range correlation test is carried out to assess more than only two parallel streams. In addition we perform our test also with explicit inversive generators which from the theoretical point of view have to be stable against long-range correlations.