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oneMKL RNG Usage Model

Description

A typical algorithm for random number generators is as follows:

  1. Create and initialize the object for basic random number

    generator.

  • Use the skip_ahead or leapfrog function if it is required (used

    in parallel with random number generation for Host and CPU devices).

  1. Create and initialize the object for distribution generator.

  2. Call the generate routine to get random numbers with appropriate

    statistical distribution.

The following example demonstrates generation of random numbers that is output of basic generator (engine) PHILOX4X32X10. The seed is equal to 777. The generator is used to generate 10,000 normally distributed random numbers with parameters a = 5 and sigma= 2. The purpose of the example is to calculate the sample mean for normal distribution with the given parameters.

Buffer-based example

#include <iostream>
#include <vector>

#include "CL/sycl.hpp"
#include "oneapi/mkl/rng.hpp"

int main() {
    sycl::queue queue;
    const size_t n = 10000;
    const std::uint64_t seed = 777;
    std::vector<double> r(n);

    oneapi::mkl::rng::philox4x32x10 engine(queue, seed); // basic random number generator object
    oneapi::mkl::rng::gaussian<double, oneapi::mkl::rng::gaussian_method::box_muller2> distr(5.0, 2.0); //  distribution object

    {
        //create buffer for random numbers
        sycl::buffer<double, 1> r_buf(r.data(), r.size());
        oneapi::mkl::rng::generate(distr, engine, n, r_buf); // perform generation
    }

    double s = 0.0;
    for(int i = 0; i < n; i++) {
        s += r[i];
    }
    s /= n;

    std::cout << "Average = " << s << std::endl;
    return 0;
}

USM-based example

#include <iostream>
#include <vector>

#include "CL/sycl.hpp"
#include "oneapi/mkl/rng.hpp"

int main() {
    sycl::queue queue;
    const size_t n = 10000;
    const std::uint64_t seed = 777;

    // create USM allocator
    sycl::usm_allocator<double, sycl::usm::alloc::shared> allocator(queue.get_context(), queue.get_device());

    // create vector with USM allocator
    std::vector<double, decltype(allocator)> r(n, allocator);

    oneapi::mkl::rng::philox4x32x10 engine(queue, seed); // basic random number generator object
    oneapi::mkl::rng::gaussian<double, oneapi::mkl::rng::gaussian_method::box_muller2> distr(5.0, 2.0); // distribution object

    auto event = oneapi::mkl::rng::generate(distr, engine, n, r.data()); // perform generation
    // sycl::event object is returned by generate function for synchronization
    event.wait(); // synchronization can be also done by queue.wait()

    double s = 0.0;
    for(int i = 0; i < n; i++) {
        s += r[i];
    }
    s /= n;

    std::cout << "Average = " << s << std::endl;
    return 0;
}

USM usage

You can also use USM with raw pointers by using the sycl::malloc_shared/malloc_device functions.

Parent topic: Random Number Generators

Random Number Generators (RNG) Overview Generate Routine