How can I generate independent pseudo-random numbers on a cluster, for Monte Carlo simulation for example? I can have many compute nodes (e.g. 100), and I need to generate millions of numbers on each node. I need a warranty that a PRN sequence on one node will not overlap the PRN sequence on another node.
- I could generate all PRN on root node, then send them to other nodes. But it would be far too slow.
- I could jump to a know distance in the sequence, on each node. But is there such an algorithm for Mersenne-Twister or for any other good PRNG, which can be done with a reasonable amount of time and memory?
- I could use different generators on each node. But is it possible with good generators like Mersenne-Twister? How could it be done?
- Any other though?