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GPU Gems 3 by Hubert Nguyen

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Chapter 37. Efficient Random Number Generation and Application Using CUDA

Lee Howes Imperial College London

David Thomas Imperial College London

Monte Carlo methods provide approximate numerical solutions to problems that would be difficult or impossible to solve exactly. The defining characteristic of Monte Carlo simulations is the use of multiple independent trials, each driven by some stochastic (random) process. The results of the independent trials are then combined to extract the average answer, relying on the Law of Large Numbers, which states that as more trials are combined, the average answer will converge on the true answer. The independent trials are inherently parallelizable, and they typically consist of dense numeric operations, so ...

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