How to signal select() to return immediately?

You are almost there. Use a "self-pipe" trick. Open a pipe, add it to your select() read and write fd_set, write to it from main thread to unblock a worker thread. It is portable across POSIX systems.

I have seen a variant of similar technique for Windows in one system (in fact used together with the method above, separated by #ifdef WIN32). Unblocking can be achieved by adding a dummy (unbound) datagram socket to fd_set and then closing it. The downside is that, of course, you have to re-open it every time.

However, in the aforementioned system, both of these methods are used rather sparingly, and for unexpected events (e.g., signals, termination requests). Preferred method is still a variable timeout to select(), depending on how soon something is scheduled for a worker thread.

Using a pipe rather than socket is a bit cleaner, as there is no possibility for another process to get hold of it and mess things up.

Using a UDP socket definitely creates the potential for stray packets to come in and interfere.

An anonymous pipe will never be available to any other process (unless you give it to it).

You could also use signals, but in a multithreaded program you'll want to make sure that all threads except for the one you want have that signal masked.

On unix it will be straightforward with using a pipe. If you are on windows and want to keep using the select statement to keep your code compatible with unix, the trick to create an unbound UDP socket and close it, works well and easy. But you have to make it multi-threadsafe.

The only way I found to make this multi-threadsafe is to close and recreate the socket in the same thread as the select statement is running. Of course this is difficult if the thread is blocking on the select. And then comes in the windows call QueueUserAPC. When windows is blocking in the select statement, the thread can handle Asynchronous Procedure Calls. You can schedule this from a different thread using QueueUserAPC. Windows interrupts the select, executes your function in the same thread, and continues with the select statement. You can now in your APC method close the socket and recreate it. Guaranteed thread safe and you will never loose a signal.