[Rcpp-devel] Mersenne Twister in RcppArmadillo?

[Dirk Eddelbuettel]

On 10 February 2013 at 11:10, Yan Zhou wrote:
| Just so we are clear, Random123 is not a library of ours. Read their website.
| 
| Use mt19937 even with the same seed cannot guarantee you the same results as
| your old simulation. I don't know what do mean by "same". If you mean exactly
| the same results, you will never get it. Reordering floating points, change of
| language and library will certainly change the results. If you mean
| asymptotically the same results. What matters is the quality of RNG, there is
| no reason you need to set the seed the same. Setting seed to reproduce the
| results is only possible when using exactly the same programming environment 

Well put.

And that is not a new problem.  We had a really nice invited keynote talk
last year at R/Finance 2012 -- I had invited Paul Gilbert who gave a talk
"Lock-In Avoidance and Quality Assurance" [1] 

Starting in the mid/late 1990s (!!), Paul wrote his own RNG for R and S-Plus
when he moved his work on macro-economic simulations between the system
(eventually of course migrating all to R).  He did that for a gorvernment
instutation so there is quite a bit of pressure on "exactly right".
Slides from his talk are still on my server at 

   http://www.rinfinance.com/agenda/2012/talk/PaulGilbert.pdf

Dirk

-- 
Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com