[Rd] Bias in R's random integers?
Philip B. Stark
@t@rk @ending from @t@t@berkeley@edu
Wed Sep 19 18:09:09 CEST 2018
The 53 bits only encode at most 2^{32} possible values, because the source
of the float is the output of a 32-bit PRNG (the obsolete version of MT).
53 bits isn't the relevant number here.
The selection ratios can get close to 2. Computer scientists don't do it
the way R does, for a reason.
Regards,
Philip
On Wed, Sep 19, 2018 at 9:05 AM Duncan Murdoch <murdoch.duncan using gmail.com>
wrote:
> On 19/09/2018 9:09 AM, Iñaki Ucar wrote:
> > El mié., 19 sept. 2018 a las 14:43, Duncan Murdoch
> > (<murdoch.duncan using gmail.com>) escribió:
> >>
> >> On 18/09/2018 5:46 PM, Carl Boettiger wrote:
> >>> Dear list,
> >>>
> >>> It looks to me that R samples random integers using an intuitive but
> biased
> >>> algorithm by going from a random number on [0,1) from the PRNG to a
> random
> >>> integer, e.g.
> >>> https://github.com/wch/r-source/blob/tags/R-3-5-1/src/main/RNG.c#L808
> >>>
> >>> Many other languages use various rejection sampling approaches which
> >>> provide an unbiased method for sampling, such as in Go, python, and
> others
> >>> described here: https://arxiv.org/abs/1805.10941 (I believe the
> biased
> >>> algorithm currently used in R is also described there). I'm not an
> expert
> >>> in this area, but does it make sense for the R to adopt one of the
> unbiased
> >>> random sample algorithms outlined there and used in other languages?
> Would
> >>> a patch providing such an algorithm be welcome? What concerns would
> need to
> >>> be addressed first?
> >>>
> >>> I believe this issue was also raised by Killie & Philip in
> >>> http://r.789695.n4.nabble.com/Bug-in-sample-td4729483.html, and more
> >>> recently in
> >>> https://www.stat.berkeley.edu/~stark/Preprints/r-random-issues.pdf,
> >>> pointing to the python implementation for comparison:
> >>>
> https://github.com/statlab/cryptorandom/blob/master/cryptorandom/cryptorandom.py#L265
> >>
> >> I think the analyses are correct, but I doubt if a change to the default
> >> is likely to be accepted as it would make it more difficult to reproduce
> >> older results.
> >>
> >> On the other hand, a contribution of a new function like sample() but
> >> not suffering from the bias would be good. The normal way to make such
> >> a contribution is in a user contributed package.
> >>
> >> By the way, R code illustrating the bias is probably not very hard to
> >> put together. I believe the bias manifests itself in sample() producing
> >> values with two different probabilities (instead of all equal
> >> probabilities). Those may differ by as much as one part in 2^32. It's
> >
> > According to Kellie and Philip, in the attachment of the thread
> > referenced by Carl, "The maximum ratio of selection probabilities can
> > get as large as 1.5 if n is just below 2^31".
>
> Sorry, I didn't write very well. I meant to say that the difference in
> probabilities would be 2^-32, not that the ratio of probabilities would
> be 1 + 2^-32.
>
> By the way, I don't see the statement giving the ratio as 1.5, but maybe
> I was looking in the wrong place. In Theorem 1 of the paper I was
> looking in the ratio was "1 + m 2^{-w + 1}". In that formula m is your
> n. If it is near 2^31, R uses w = 57 random bits, so the ratio would be
> very, very small (one part in 2^25).
>
> The worst case for R would happen when m is just below 2^25, where w
> is at least 31 for the default generators. In that case the ratio could
> be about 1.03.
>
> Duncan Murdoch
>
--
Philip B. Stark | Associate Dean, Mathematical and Physical Sciences |
Professor, Department of Statistics |
University of California
Berkeley, CA 94720-3860 | 510-394-5077 | statistics.berkeley.edu/~stark |
@philipbstark
[[alternative HTML version deleted]]
More information about the R-devel
mailing list