I have been using the intel mkl library for about a year, but still consider myself new to it. I have found that different versions of the library output different random numbers. Specifically I am using thevdRngGaussian function with inputVSL_RNG_METHOD_GAUSSIAN_ICDF on mac osx. The differences in the random numbers appear to be in about the ninth decimal places for mean zero std 1 normal distribution. Is there a mistake in the libraries?
Intel MKL VSL Random Number Generators do not guarantee bitwise results betweenversions of the library. Optimizations we do in thealgorithms of the generatorscan result into those fluctuations, there is no a bug in the library.
Can you please provide additional details why ~10^(-9)difference in the output of Gaussian RNG is important for your applications?
Also, you might want to have a look at Intel MKL 11 Beta, http://software.intel.com/en-us/articles/intel-mkl-11dot0/ which provides a new Conditional Bitwise Reproducibility feature.