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 <[email protected]> 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 <[email protected]> wrote:
>
>> On 11/02/13 10:23, c s wrote:
>>> On Sun, Feb 10, 2013 at 12:32 AM, Yan Zhou <[email protected]> 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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