[Rcpp-devel] Mersenne Twister in RcppArmadillo?

[Simon Zehnder]

Hi Dirk,

that is good to know. At this point I would like to know: Functions like R::qbinom or R::qnorm from R's C library can still be used right? They are not called, but the code is read and worked through in compilation?

Best

Simon

P.S.: How is it with code using RcppArmadillo: Is there a general interest to share reusable code (e.g. I programmed for my GMM estimation a Newey West covariance estimation procedure, reproducing results from R's package sandwich with prewhitening, bandwith bwNeweyWest and weights weightsAndrews. Also sandwich estimation is possible. It becomes much faster than the R equivalent when working with datasets bigger than 50.000 observations)?


On Feb 15, 2013, at 12:08 AM, Dirk Eddelbuettel <edd at debian.org> wrote:

> 
> On 14 February 2013 at 22:24, Yan Zhou wrote:
> | It runs in parallel does not mean it works correctly.
> 
> Well put :)
> 
> | 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.
> 
> Precisely -- First rule of OpenMP with R: never ever call back into R from a
> thread. Which implies to not access Rcpp::Function etc.
> 
> | 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.
> 
> I meant to make the same suggestion about the same carefully written
> document. Prof Ripley also has an (older) bug on this, he _really_ knows this
> stuff. 
> 
> Regards, Dirk
> 
> | 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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> |     >
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> Dirk Eddelbuettel | edd at debian.org | http://dirk.eddelbuettel.com