[R] Random seed problem in MCMC coupling of chains

[Gorjanc Gregor]

Hello!

I am performing coupling of chains in MCMC and I need the same value
of seed for two chains. I will show demo of what I want:

R code, which might show my example is:
niter <- 3
nchain <- 2
tmpSeed <- 123
for (i in 1:niter) { # iterations
  for (j in 1:nchain) { # chains
    set.seed(tmpSeed)
    a <- runif(1)
    cat("iter:", i, "chain:", j, "runif:", a, "\n")
    tmpSeed <- .Random.seed
  }
}

I get this:

iter: 1 chain: 1 runif: 0.43588
iter: 1 chain: 2 runif: 0.43588
iter: 2 chain: 1 runif: 0.43588
iter: 2 chain: 2 runif: 0.43588
iter: 3 chain: 1 runif: 0.43588
iter: 3 chain: 2 runif: 0.43588

but I would like to get:

iter: 1 chain: 1 runif: 0.43588
iter: 1 chain: 2 runif: 0.43588
iter: 2 chain: 1 runif: 0.67676
iter: 2 chain: 2 runif: 0.67676
iter: 3 chain: 1 runif: 0.12368
iter: 3 chain: 2 runif: 0.12368

Note that seed value is of course changing, but it is parallel
between chains.

I am able to do only this, since setting seed at the beginning 
of chain i.e iteration is not a problem, but I want an upper 
scheme, since I compare chains and stop one if some condition is
satisfied.

tmpSeed <- 123
for (i in 1:nchain) { # chains
  set.seed(tmpSeed)
  for (j in 1:niter) { # iterations
    a <- runif(1)
    cat("iter:", j, "chain:", i, "runif:", a, "\n")
  }
}
iter: 1 chain: 1 runif: 0.28758
iter: 2 chain: 1 runif: 0.7883
iter: 3 chain: 1 runif: 0.40898
iter: 1 chain: 2 runif: 0.28758
iter: 2 chain: 2 runif: 0.7883
iter: 3 chain: 2 runif: 0.40898
iter: 1 chain: 3 runif: 0.28758
iter: 2 chain: 3 runif: 0.7883
iter: 3 chain: 3 runif: 0.40898

I was looking in 'rlecuyer', 'rsprng' and 'setRNG', but did not find 
anything usable for me.  From reading on http://sprng.cs.fsu.edu/ 
'rsprng' provides just opposite of what I want, 'rlecuyer' is a bit
to technical for me, but I think it also doesn't give identical
seed for parallels. 'setRNG', especially it's function 'getRNG()'
looks nice but its arguments should have seed stored. How can one
do that?


Thanks in advance!

Lep pozdrav / With regards,
    Gregor Gorjanc

----------------------------------------------------------------------
University of Ljubljana
Biotechnical Faculty        URI: http://www.bfro.uni-lj.si/MR/ggorjan
Zootechnical Department     mail: gregor.gorjanc <at> bfro.uni-lj.si
Groblje 3                   tel: +386 (0)1 72 17 861
SI-1230 Domzale             fax: +386 (0)1 72 17 888
Slovenia, Europe
----------------------------------------------------------------------
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