Re: Parallel_Simulation

[Vincent LAFAGE <lafage@ipno.in2p3.fr>]

Le 25/02/2013 19:30, John B. Matthews a écrit :
> In article <kgg6b2$kma$1@ccpntc8.in2p3.fr>,
>  Vincent LAFAGE <lafage@ipno.in2p3.fr> wrote:
> 
>> Le 25/02/2013 13:40, John B. Matthews a écrit :
>>> In article <kgfdsp$tb0$1@ccpntc8.in2p3.fr>,
>>>  Vincent LAFAGE <lafage@ipno.in2p3.fr> wrote:
>>>
>>>> I am interested in MonteCarlo simulation and I had translated a 
>>>> former F77 code to Ada with success, with the goal of 
>>>> parallelizing it, but one part in the algorithm still resists 
>>>> parallelization: the random number generator. I need the different 
>>>> worker to rely on independant random number generators.
>>>>
>>>> Then I found a precious example in
>>>>  RM-A-5-2 59., 60., 61.
>>>> that compiles smoothly.
>>>>
>>>> I will now attempt to check the independance of the sequence 
>>>> generated by each thread. But this kind of check is always more 
>>>> subtle than expected.
>>>>
>>>> I wonder whether there is a statement about the independance of 
>>>> such generator, in particular in the gnat implementation?
>>>
>>> You should check your implementation's required documentation and 
>>> any statements on implementation advice. For example, GNAT includes 
>>> a comment in Ada.Numerics.Float_Random.ads, and the GNAT Reference 
>>> Manual says, "The generator period is sufficiently long for the 
>>> first condition here [A.5.2(47)] to hold true."
>>
>> Thanks for the advice, but the particular doesn't exactly fit my 
>> question. I understand that the sequence is long enough. But 
>> different seeds will in the end be different starting points along 
>> the same sequence (well, at least for congruential generators, I 
>> still have to confirm it for Mersenne Twister algorithm that is 
>> used). And this would in turn lead to fine correlations between the 
>> sequences.
>>
>> The best statement I have found until now is in gnat_rm-4.6.info:
>>
>> *67*.  The minimum time interval between calls to the time-dependent 
>> Reset procedure that are guaranteed to initiate different random 
>> number sequences.  See A.5.2(45).
>>   The minimum period between reset calls to guarantee distinct
>>   series of random numbers is one microsecond.
>>
>> So I need to assert the delay between the reset of each worker in 
>> RM-A-5-2 60 to be sure that there is at least one microsecond.
> 
> IIUC, the example in A.5.2(60) uses the version of Reset that is _not_ 
> time-dependent; it initializes each Worker's generator to "a state 
> denoted by a single integer." As long as you're not using the 
> time-dependent version, I don't see how the minimum period would come 
> into play.

Indeed.

>> Would you think of another way?
> 
> If you Reset a single instance of Discrete_Random in a time-dependent 
> way and use it to generate each Worker's Initiator, as suggested in 
> A.5.2(61), I don't see much chance of correlation.

Thank you for your guidance and detailled answer!

Vincent