[Rcpp-devel] Mersenne Twister in RcppArmadillo?

[Yan Zhou]

It runs in parallel does not mean it works correctly.

Simply increase seed certainly not avoid overlapping. The best algorithm that use MT19937 in parallel environment without overlapping has a complexity O(log n) AFAIK.

Second, R's RNG has a single instance within the whole program, which means your program does not work as you thought. There are obvious race conditions in your approach.

I suggest you google a little bit of how RNG really works before purse how to generate them in parallel. For example section 6 of the R's parallel package's document.

Best,

Yan Zhou

On Feb 14, 2013, at 09:40 PM, Simon Zehnder <szehnder at uni-bonn.de> wrote:

Well, in OpenMP it seems to work, if I use inside the #pragma parallel for:

Rcpp::Environment base("package:base");
Rcpp::Function SetSeed = base["set.seed"];
SetSeed(1 + i * nobs_intern * 3);

I used OMP_NUMTHREADS = 4 and 8 iterations. 

Best Simon

On Feb 14, 2013, at 10:10 PM, Simon Zehnder <szehnder at uni-bonn.de> wrote:

> 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. 
> 
> Best Simon
> 
> 
> 
> 
> 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).
>> 
>> Chris
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