On 30 August 2016 at 18:29, Duncan Murdoch wrote: | I don't see evidence of a bug. There have been several versions of the | MT; we may be using a different version than you are. Ours is the | 1999/10/28 version; the web page you cite uses one from 2002. | | Perhaps the newer version fixes some problems, and then it would be | worth considering a change. But changing the default RNG definitely | introduces problems in reproducibility, so it's not obvious that we | would do it.
Yep. FWIW the GNU GSL adopted the 2002 version a while ago too. Quoting from https://www.gnu.org/software/gsl/manual/html_node/Random-number-generator-algorithms.html Generator: gsl_rng_mt19937 The MT19937 generator of Makoto Matsumoto and Takuji Nishimura is a variant of the twisted generalized feedback shift-register algorithm, and is known as the “Mersenne Twister” generator. It has a Mersenne prime period of 2^19937 - 1 (about 10^6000) and is equi-distributed in 623 dimensions. It has passed the DIEHARD statistical tests. It uses 624 words of state per generator and is comparable in speed to the other generators. The original generator used a default seed of 4357 and choosing s equal to zero in gsl_rng_set reproduces this. Later versions switched to 5489 as the default seed, you can choose this explicitly via gsl_rng_set instead if you require it. For more information see, Makoto Matsumoto and Takuji Nishimura, “Mersenne Twister: A 623-dimensionally equidistributed uniform pseudorandom number generator”. ACM Transactions on Modeling and Computer Simulation, Vol. 8, No. 1 (Jan. 1998), Pages 3–30 The generator gsl_rng_mt19937 uses the second revision of the seeding procedure published by the two authors above in 2002. The original seeding procedures could cause spurious artifacts for some seed values. They are still available through the alternative generators gsl_rng_mt19937_1999 and gsl_rng_mt19937_1998. Note the last sentence here. This is all somewhat technical code, so when I noticed the above I could never figure what exactly R was doing in its implementation. But "innocent until proven guilty" -- a sufficient number of people ought to have looked at this -- so I saw no need to pursue this further. Dirk -- http://dirk.eddelbuettel.com | @eddelbuettel | e...@debian.org ______________________________________________ R-devel@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-devel
