[R] Question on RNG

[Petr Savicky]

On Sat, Aug 06, 2011 at 09:37:22PM +0200, Petr Savicky wrote:
> On Fri, Aug 05, 2011 at 11:47:49PM +0530, 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.
> 
> Hi.
> 
> R uses Mersenne Twister generator as the default one. There are
> implementations of this generator in different laguages, including C#.
> Links may be found on Wikipedia and also at the home page of
> Mersenne Twister
> 
>   http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/emt.html
> 
> Different implementations of Mersenne Twister differ in some
> details, in particular in the initialization algorithm.
> In order to obtain the same stream of numbers, it will be
> needed either to copy the initialization algorithm from R
> to the C# implementation or vice versa.

In fact, copying the code is not needed. CRAN package randtoolbox
contains Mersenne Twister with the initialization from 2002, which
is used also in the implementations mentioned above. Search
"runifInterface" or "set.generator()" in the documentation of
randtoolbox for more information. Base R started to use Mersenne
Twister before 2002 (i think, approximately in 2000), so it uses
a different initialization.

Hope this helps.

Petr Savicky.