[Rcpp-devel] Mersenne Twister in RcppArmadillo?
szehnder at uni-bonn.de
Thu Feb 14 22:10:42 CET 2013
I made all my simple tests now by using Rcpp::Environment and then Rcpp::Function for "set.seed" when calling R::rnorm. The next step would be to parallelize the iterations via OpenMP. The suggestion of Yan makes quite sense to produce a RNG via std::mt19937. This is also the way I did it when I used Scythe Statistical Library.
As I use now the R RNG it should be able to use it in parallel, if Rcpp::Function is a kind of wrapper which contains the code of "set.seed". But I would rather guess, that it is a call object, that just calls the R function "set.seed" in R, which then would not be threadsafe (as also the RNG would then just be called when using R::rnorm).....
So I guess falling back to std::mt19937 is not a bad idea. For no overlapping I just increase the seed in every iteration dependent on the iteration and the number of random numbers to generate.
On Feb 11, 2013, at 2:16 PM, Chris Jefferson <chris at bubblescope.net> wrote:
> On 11/02/13 10:23, c s wrote:
>> On Sun, Feb 10, 2013 at 12:32 AM, Yan Zhou <zhouyan at me.com> wrote:
>>> To have Armadillo randn use MT19937 is not easy.
>>> Since it use srand() for seed, I guess it also use C rand(),
>>> whose quality is quite questionable.
>> The quality of the rand() function from C depends on the
>> implementation in libc, which varies from system to system.
>> While I'd like to incorporate a Mersenne-Twister random number
>> generator directly in Armadillo, it would either add a dependency on
>> Boost, or on C++11. Boost might not be available on a user's system,
>> and the degree of support for C++11 features varies from compiler to
>> compiler. We also have to bear in mind that R folks currently
>> disallow CRAN packages that use C++11.
> If you just want a mersenne-twister random number generator, I will extract it from boost (which is under a fairly free licence).
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