A fast high quality pseudo random number generator for nVidia CUDA

Abstract

Previously either due to hardware GPU limits or older versions of software, careful implementation of PRNGs was required to make good use of the limited numerical precision available on graphics cards. Newer nVidia G80 and Tesla hardware support double precision. This is available to high level programmers via CUDA. This allows a much simpler C++ implementation of Park-Miller random numbers, which provides a four fold speed up compared to an earlier GPU implementation.