[Rcpp-devel] Mersenne Twister in RcppArmadillo?
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