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I'm investigating using nvidia GPUs for Monte-Carlo simulations. However, I would like to use the gsl random number generators and also a parallel random number generator such as SPRNG. Does anyone know if this is possible?
Update
I've played about with RNG using GPUs. At present there isn't a nice solution. The Mersenne Twister that comes with the SDK isn't really suitable for (my) Monte-Carlo simulations since it takes an incredibly long time to generate seeds.
The NAG libraries are more promising. You can generate RNs either in batches or in individual threads. However, only a few distributions are currently supported - Uniform, exponential and Normal.
You will have to implement them by yourself.