[Rcpp-devel] Mersenne Twister in RcppArmadillo?

Hi everyone,

In Armadillo 3.800 I've added .imbue(), allowing a matrix to be filled
using a functor or C++11 lambda expression. This allows the use of the
Mersenne twister random number engine built into C++11.  For example:

std::mt19937 engine;
std::uniform_real_distribution<double> distr(0.0, 1.0);

arma::mat X(4,5);
X.imbue( [&]() { return distr(engine); } );

More information at:
http://arma.sourceforge.net/docs.html#imbue

Dirk is likely to release the corresponding RcppArmadillo version soon.



On Fri, Feb 15, 2013 at 7:10 AM, 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