The effectiveness of five temperature control algorithms for dual control volume grand canonical molecular dynamics is investigated in the study of hydrogen atom diffusion in a palladium bulk. The five algorithms, namely, Gaussian, generalized Gaussian moment thermostat (GGMT), velocity scaling, Nosé-Hoover (NH), and its enhanced version Nosé-Hoover chain (NHC) are examined in both equilibrium and nonequilibrium simulation studies. Our numerical results show that Gaussian yields the most inaccurate solutions for the hydrogen-palladium system due to the high friction coefficient generated from the large velocity fluctuation of hydrogen, while NHC, NH, and GGMT produce the most accurate temperature and density profiles in both equilibrium and nonequilibrium cases with their feedback control mechanisms. However, this feedback control also overestimates the self-diffusion coefficients in equilibrium systems and the diffusion coefficient in nonequilibrium systems. Velocity scaling thermostat produces slight inhomogeneities in the temperature and density profiles, but due to the dissipated heat accumulated in the control volumes it still yields accurate self-diffusion coefficients that are in good agreement with the experimental data at a wide range of temperatures while others tend to deviate.