Don't trust parallel Monte Carlo!

Peter Hellekalek

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Simulation Techniques and Applications Markov Chains and Monte Carlo Methods Mathematical Approximation and Integration

Abstract

Parallel Monte Carlo simulation requires reliable RNGs. For sequential machines, good generators exist. It is not at all trivial to find high quality RNGs for parallel machines. We present a review of the main concepts to produce random numbers on parallel processors and further, we illustrate some phenomena that occur with parallelization.

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1992Twisted GFSR generators

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2020Monte Carlo Methods for the Propagation of Uncertainties

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