Should VSL Leap Frog work with Wichmann Hill?

roger567 — Sun, 03 Jul 2016 14:30:51 GMT

I tried vslLeapfrogStream and compared the numbers produced with a simple block of randoms.

This worked for the congruential generators MCG31 and 59, but it did not put the numbers in the right places with WH.

If it is not supported, I expected a non-zero status from calling the vslLeapfrogStream method, but it was zero.

My guess is that WH shouldn't be supported and the status is wrong.

This is what I did...

the assert(fabs(a - b) < 1e-12); fails, suggesting inconsistent values.

It works if I change the gen to an MCG near the top.

This is with compiler version 16.0 x64 in VS2015 / Windows 10.

int main()
{
	constexpr int nFrogs = 7;
	constexpr int nSims = 101;
	VSLStreamStatePtr streams[nFrogs];

	int gen = VSL_BRNG_WH;
	int seed = 1234567890;

	// Creating first stream
	int status = vslNewStream(&streams[0], gen, seed);
	assert(status == 0);

	// Copy first stream to others
	for (int i = 1; i < nFrogs; ++i)
	{
		status = vslCopyStream(&streams, streams[0]);
		assert(status == 0);
	}

	// Leapfrogging the streams
	for (int i = 0; i < nFrogs; ++i)
	{
		status = vslLeapfrogStream(streams, i, nFrogs);
		assert(status == 0); // Unacceptable generator gives status -1002
	}

	// Generating base case random numbers without leap frog for comparison
	// Same generator and seed
	VSLStreamStatePtr baseStream;
	status = vslNewStream(&baseStream, gen, seed);
	assert(status == 0);
	double y[nSims*nFrogs];
	status = vdRngUniform(VSL_RNG_METHOD_UNIFORM_STD, baseStream, nSims*nFrogs, y, 0.0, 1.0);
	assert(status == 0);

	// Generate randoms for each of the leapfrog streams and compare output
	double x[nSims];
	for (int i = 1; i < nFrogs; ++i)
	{
		status = vdRngUniform(VSL_RNG_METHOD_UNIFORM_STD, streams, nSims, x, 0.0, 1.0);
		assert(status == 0);
		for (int j = 0; j < nSims; ++j)
		{
			double a = x;
			double b = y[j*nFrogs + i];
			assert(fabs(a - b) < 1e-12);
		}

	}

	// Deleting the streams
	for (int i = 1; i < nFrogs; ++i)
	{
		status = vslDeleteStream(&streams);
		assert(status == 0);
	}

	vslDeleteStream(&baseStream);
}

Hi Roger,

Ying_H_Intel — Tue, 05 Jul 2016 05:55:50 GMT

Hi Roger,

From our documentation, it should support WH. I can reproduce your result. It seems something is wrong. I will ask our developer to investigate it and get back to you later.

Thanks

Ying

topic Should VSL Leap Frog work with Wichmann Hill? in Intel® oneAPI Math Kernel Library

Should VSL Leap Frog work with Wichmann Hill?

Hi Roger,