I am currently working on updating some legacy code that calls the IMSL function DRNNOA. I would like to know if there is a structured way of going about finding functions in the Intel MKL offering that produces the same output as these IMSL functions.
Tangentially, is a structured way of going about finding high quality free implementations of these subroutines online?
It is unlikely that you will find an MKL equivalent subroutine with the same argument list and functionality as an IMSL subroutine, in general. That is probably why there is no widely known crossover list.
For normally distributed random numbers, use vRngGaussian, see https://software.intel.com/en-us/mkl-developer-reference-c-vrnggaussian#40716A0C-A831-465F-9285-D28DFA06C46A .
Seems DRNNOA uses nkira method, actually MKL PRNG based on Gaussian distribution only provide box-muller (which is not acceptance-rejection tech) and inverse DCF (which probably same as DNNOR).
In fact, the ISML numerical lib can be optimized with Intel MKL, some basic function may replaced to implemented with MKL routines. We probably could check if the particular function DRNNOA can be improved by MKL. Thanks.