[Rcpp-devel] R random numbers vs c++

[Dirk Eddelbuettel]

On 22 March 2012 at 13:41, Glenn Lawyer wrote:
| Is there a reason to prefer Rcpp::runif over the c++ rand() for, say, accepting
| a state in a Markov chain simulation? Is one more random than another? faster?

Fair question.  I'd say go with R because

 - it is portable as R supplies it, and well tested by R Core (specifically
   Brian Ripley who actually "did write the book on this")

 - six different generators you can select from

 - numerous distributions

whereas system library rand() implementations used to be terrible.  But you
could also consider Boost or others.

As for speed, we were benchmarking some MCMC stuff against Python in response
to a post by Darren Wilkinson last year. Turned out that R's rgamma was
slower that one from the GSL, which I discussed briefly with Martin Maechler.
It "may" be that R's rgamma is more rigorous / better.

Dirk

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