[R] Random seed problem in MCMC coupling of chains

[Kjetil Brinchmann Halvorsen]

Gorjanc Gregor wrote:

>Thanks to Paul and Gabor for additional tips/examples. Actually, I find
>Pauls suggestion with setRNG also nice and is exactly what I wanted. 
>Paul, if I understand this correctly, your suggestion with setRNG does not
>alter "RNG flow", it just takes care that chains really have equal seeds.
>I remember that I have read somewhere that destroying "RNG flow over and
>over to get real randomness" is not a good idea. Can someone confirm this?
>  
>
That's in Brian Ripley's Simulation book, and certainly in other places.

Kjetil

>niter <- 3
>nchain <- 2
>for (i in 1:niter) { # iterations
>  tmpSeed <- setRNG()
>  for (j in 1:nchain) { # chains
>    setRNG(tmpSeed)
>    a <- runif(1)
>    cat("iter:", i, "chain:", j, "runif:", a, "\n")
>  }
>}
>
>iter: 1 chain: 1 runif: 0.8160078
>iter: 1 chain: 2 runif: 0.8160078
>iter: 2 chain: 1 runif: 0.4909793
>iter: 2 chain: 2 runif: 0.4909793
>iter: 3 chain: 1 runif: 0.4425924
>iter: 3 chain: 2 runif: 0.4425924
>
>[... removed other stuff ...]
>
>Lep pozdrav / With regards,
>    Gregor Gorjanc
>
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>
>  
>


-- 

Kjetil Halvorsen.

Peace is the most effective weapon of mass construction.
               --  Mahdi Elmandjra




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