[Rcpp-devel] Rcpp bug with rgamma

Colin,

Just as one last comment, the issue at hand is described in Section 6.3 of
Writing R Extensions:

    6.3 Random number generation
    ============================

    The interface to R's internal random number generation routines is

         double unif_rand();
         double norm_rand();
         double exp_rand();

    giving one uniform, normal or exponential pseudo-random variate.
    However, before these are used, the user must call

         GetRNGstate();

    and after all the required variates have been generated, call

         PutRNGstate();

    These essentially read in (or create) `.Random.seed' and write it out
    after use.

    [...]

We had not made that sufficiently clear. What you encountered with rgamma was
an internal algorithm using a rejection sampleing scheme calling unif_rand()
and exp_rand() ... but creating an infinite loop at it would always end up
with the same draws.

I amended the 'Rcpp-sugar' vignette as well as the header files to point
users to this Section 6.3 to make sure GetRNGstate() and PutRNGstate() are
used.

Cheers,  Dirk