Random Number Generators

Intel MKL VSL provides a set of routines implementing commonly used pseudo- or quasi-random number generators with continuous and discrete distribution. To improve performance, all these routines were developed using the calls to the highly optimized Basic Random Number Generators (BRNGs) and the library of vector mathematical functions (VML, see "Vector Mathematical Functions").

VSL provides interfaces both for Fortran and C languages. For users of the C and C++ languages the mkl_vsl.h header file is provided. For users of the Fortran 90 or Fortran 95 language the mkl_vsl.f90 header file is provided. The mkl_vsl.fi header file available in the previous versions of Intel MKL is retained for backward compatibility. For users of the FORTRAN 77 language the mkl_vsl.f77 header file is provided. All header files are found in the following directory:
${MKL}/include

The mkl_vsl.f90 header is intended for using via the Fortran include clause and is compatible with both standard forms of F90/F95 sources - the free and 72-columns fixed forms. If you need to use the VSL interface with 80- or 132-columns fixed form sources, you may add a new file to your project. That file is formatted as a 72-columns fixed-form source and consists of a single include clause as follows:

include ‘mkl_vsl.f90’

This include clause causes the compiler to generate the module files mkl_vsl.mod and mkl_vsl_type.mod, which are used to process the Fortran use clauses referencing to the VSL interface:

use mkl_vsl_type

use mkl_vsl

Because of this specific feature, you do not need to include the mkl_vsl.f90 header into each source of your project. You only need to include the header into some of the sources. In any case, make sure that the sources that depend on the VSL interface are compiled after those that include the header so that the module files mkl_vsl.mod and mkl_vsl_type.mod are generated prior to using them.

The mkl_vsl.f77 header is intended for using via the Fortran include clause as follows:

include ‘mkl_vsl.f77’

Note

For Fortran 90 interface, VSL provides both subroutine-style interface and function-style interface. Default interface in this case is a function-style interface. Function-style interface, unlike subroutine-style interface, allows the user to get error status of each routine. Subroutine-style interface is provided for backward compatibility only. To use subroutine-style interface, manually include mkl_vsl_subroutine.fi file instead of mkl_vsl.f90 by changing the line include ‘mkl_vsl.f90’ in include\mkl.fi with the line include ‘mkl_vsl_subroutine.fi’.

For the FORTRAN 77 interface, VSL provides only function-style interface.

 

All VSL routines can be classified into three major categories:

• Transformation routines for different types of statistical distributions, for example, uniform, normal (Gaussian), binomial, etc. These routines indirectly call basic random number generators, which are either pseudorandom number generators or quasi-random number generators. Detailed description of the generators can be found in Distribution Generators.

• Service routines to handle random number streams: create, initialize, delete, copy, save to a binary file, load from a binary file, get the index of a basic generator. The description of these routines can be found in Service Routines.

• Registration routines for basic pseudorandom generators and routines that obtain properties of the registered generators (see Advanced Service Routines).

The last two categories are referred to as service routines.

• Conventions
  
• Basic Generators
  
• Error Reporting
  
• VSL RNG Usage Model
  
• Service Routines
  
• Distribution Generators
  
• Advanced Service Routines