Numerical Routines for GPUs Overview

The suite contains the following components:

  • The MRG32k3a pseudorandom number generator (L'Ecuyer) with streams and substreams
  • The MT19937 pseudorandom number generator (Matsumoto, Nishimura) with streams and substreams
  • A Sobol generator in up to 50,000 dimensions with digital scrambling (Hickernell)
  • Uniform, Exponential, Normal and Gamma distributions in single and double precision
  • GPU device function MRG and Sobol generators which can be embedded in users' GPU kernels
  • A Brownian bridge constructor for up to 8 dimensional Brownian motions
  • A high-performance Brownian bridge constructor for up to 4 dimensional Brownian motions
  • Cholesky factorization and LU decomposition for double precision matrices resident on the GPU
  • User-configurable performance tuning and full error handling
How can I gain access to NAG Numerical Routines for GPUs?

To obtain a copy of the software please contact us directly for more information. Software is available for evaluation under a collaborative licence for proof of concept usage and is delivered for production usage via our consulting services licence.