Hi Simon,
On 15 February 2013 at 08:56, Simon Zehnder wrote:
| 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?
That should work. You just can't get to the single-threaded "R engine" from
multiple-threads. Anything stateful will go funky, or even just blow up --
and the RNG is stateful.
Linking through should be fine.
| 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)?
Sounds good.
You may want to think about packaging that. Already 30 packages on CRAN use
RcppArmadillo and provide examples of using RcppArmadillo in a package.
Dirk
|
| On Feb 15, 2013, at 12:08 AM, Dirk Eddelbuettel <e...@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 <szehn...@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 <szehn...@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 <ch...@bubblescope.net>
| > | wrote:
| > | >
| > | >> On 11/02/13 10:23, c s wrote:
| > | >>> On Sun, Feb 10, 2013 at 12:32 AM, Yan Zhou <zhou...@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
| > | >> _______________________________________________
| > | >> Rcpp-devel mailing list
| > | >> Rcpp-devel@lists.r-forge.r-project.org
| > | >>
https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
| > | >
| > | > _______________________________________________
| > | > Rcpp-devel mailing list
| > | > Rcpp-devel@lists.r-forge.r-project.org
| > | >
https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
| > |
| > | _______________________________________________
| > | Rcpp-devel mailing list
| > | Rcpp-devel@lists.r-forge.r-project.org
| > |
https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
| > |
| > |
| > | ----------------------------------------------------------------------
| > | _______________________________________________
| > | Rcpp-devel mailing list
| > | Rcpp-devel@lists.r-forge.r-project.org
| > | https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
| > --
| > Dirk Eddelbuettel | e...@debian.org | http://dirk.eddelbuettel.com
|
--
Dirk Eddelbuettel | e...@debian.org | http://dirk.eddelbuettel.com
_______________________________________________
Rcpp-devel mailing list
Rcpp-devel@lists.r-forge.r-project.org
https://lists.r-forge.r-project.org/cgi-bin/mailman/listinfo/rcpp-devel
