ziggurat_openmp, a FORTRAN90 code which uses the ziggurat() library, in conjunction with OpenMP, to compute random numbers efficiently and correctly.
The primary worry, when computing random numbers in OpenMP, occurs when the user calls a random number generator which may have some internal memory. In that case, the internal memory may become corrupted if multiple threads are invoking the code at the same time.
A safe way to compute random numbers is to ensure that the seed value, and any other data or tables needed by the computation, are stored externally, in the user program. That way, each thread can have a separate copy of the data, and multiple threads of random number calculations can be going along simultaneously without fear of overwriting or memory contention.
The program presented here is somewhat awkward, because it wishes to verify that OpenMP can compute exactly the same data as a sequential program. To do so, we need to create separate seeds for each threads, and ensure that the threads execute the loop iterations in some predictable sequence. When the sequential program goes through the same calculations, we again have to do some acrobatics to ensure that it is doing the same things that the parallel program did.
So some of the complications in this program are there to ensure that we can exhibit the same results sequentially and in parallel. Once you are convinced of that, and see how to go about this, your own program can be set up without some of the overhead and special instructions used in this demonstration.
In the BASH shell, the program could be run with 2 threads using the commands:
export OMP_NUM_THREADS=2 ./ziggurat_openmp
The computer code and data files described and made available on this web page are distributed under the MIT license
ziggurat_openmp is available in a C version and a C++ version and a FORTRAN90 version.
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SCHEDULE_OPENMP, a FORTRAN90 code which demonstrates the default, static, and dynamic methods of "scheduling" loop iterations in OpenMP to avoid work imbalance.
ZIGGURAT, a FORTRAN90 code which generates points from a uniform, normal or exponential distribution, using the ziggurat method.