[R] Question on RNG

[Duncan Murdoch]

On 11-08-05 2:17 PM, Ron Michael wrote:
> Hi all, I have happened to work on MS .NET for sometime now, and I found that this language offers RNG what is called as Donald E. Knuth's subtractive random number generator algorithm (found here: http://msdn.microsoft.com/en-us/library/system.random.aspx#Y12).
>
> Here I was wondering whether R also have same RNG in it's inventory, so looked at ?set.seed. There I found 2 related RNGs namely 'Knuth-TAOCP-2002', 'Knuth-TAOCP'. Can somebody guide me what is the most related RNG with .Net's?
>
> I also want to have R to draw random number from that RNG, given I set a seed. My goal is to have same set of random numbers in .Net&  R, so that I can match and see and compare the performance for some further calculations, which are based on random numbers in both .Net&  R.
>
> It will be really great to me if somebody can help me out.

As far as I know, Microsoft doesn't publish the code for their RNG. 
Naming it is not enough -- implementations that differ in subtle details 
will give different streams.

So I'd recommend that you call a known RNG from .NET, rather than 
whatever is built in.  R provides ways to call its RNGs from C, so it's 
probably possible to call it from .NET:  then you can be sure the two 
streams are identical.

Duncan Murdoch