[R] MASS::mvrnorm() on MKL may produce different numbers even when the seed is the same?

[Ben Bolker]

 > However, should the numbers
 > generated identical if the same seed is used?

   I don't see how using the same seed can overcome floating-point 
differences across platforms (compilers etc.) stemming from differences 
in an eigen() computation (based on arcane details like use of 
registers, compiler optimizations, etc.).  set.seed() guarantees that 
the normal deviates generated by rnorm() will be identical, but those 
random numbers are then multiplied by the eigenvectors derived from 
eigen(), at which point the differences will crop up.

   This has been discussed on Twitter: 
https://twitter.com/wviechtb/status/1230078883317387264

Wolfgang Viechtbauer, 2020-02-18:

Another interesting reproducibility issue that came up. MASS::mvrnorm() 
can give different values despite setting the same seed. The problem: 
Results of eigen() (which is used by mvrnorm) can be machine dependent 
(help(eigen) does warn about this).

Interestingly, mvtnorm::rmvnorm() with method="eigen" gives the same 
values across all machines I tested this on (and method="svd" give the 
same values). With method="chol" I get different values, but again 
consistent across machines.

Ah, mvtnorm::rmvnorm() applies the results from eigen() in a different 
way that appears to be less (not?) affected by the indeterminacy in the 
eigenvectors. Quite clever.


On 2023-08-16 11:10 p.m., Shu Fai Cheung wrote:
> Hi All,
> 
> When addressing an error in one of my packages in the CRAN check at CRAN,
> I found something strange which, I believe, is unrelated to my package.
> I am not sure whether it is a bug or a known issue. Therefore, I would like
> to have advice from experts here.
> 
> The error at CRAN check occurred in a test, and only on R-devel with MKL. No
> issues on all other platforms. The test compares two sets of random numbers,
> supposed to be identical because generated from the same seed. However, when
> I tried that in R-devel (2023-08-15 r84957) on Ubuntu 22.04.3 LTS, linked to
> MKL (2023.2.0), I found that this is not the case in one situation.
> 
> I don't know why but somehow only one particular set of means and
> covariance matrix, among many others in the code, led to that problem.
> Please find
> below the code to reproduce the means and the covariance matrix (pardon me
> for the long code):
> 
> mu0 <- structure(c(0.52252416853188655, 0.39883382931927774, 1.6296642535174521,
> 2.9045763671121816, -0.19816874840500939, 0.42610841566522556,
> 0.30155498531316366, 1.0339601619394503, 3.4125587827873192,
> 13.125481598475405, 19.275480386183503, 658.94225353462195, 1.0997193726987393,
> 9.9980286642877214, 6.4947188998602092, -12.952617780813679,
> 8.4991882784024799, 106.82209520278377, 0.19623712449219838), class =
> c("numeric"))
> 
> sigma0 <- structure(c(0.0047010182215945009, 1.4688424622163808e-17,
> -2.5269697696885822e-17,
> -1.2451516929358655e-18, 3.6553475725253408e-19, 3.2092363914356227e-19,
> -2.6341938382508503e-18, 8.6439582878287556e-19, -1.295240602054123e-17,
> 1.1154057497258702e-18, -8.2407621704807367e-33, -1.0891686096304908e-15,
> -2.6800671450262819e-18, -0.00092251429799113333, -1.4833018148344697e-16,
> 2.2888892242132203e-16, -3.5128615476876035e-18, 2.8004770623734002e-33,
> 2.0818099301348832e-34, 1.294907062174661e-17, 0.012788608283099183,
> 1.5603789410838518e-15, 1.0425182851251724e-16, 2.758318745465066e-17,
> -9.7047963858148572e-18, -7.4685438142667792e-17, -1.9426723638193857e-17,
> -7.8775307262071738e-17, -4.0773523140359949e-17, 4.1212975037936416e-18,
> -1.199934828824835e-14, 2.301740948367742e-17, -2.5410883836579325e-18,
> -0.129172198695584, -1.9922957470809647e-14, 1.7077690739402761e-16,
> 1.663702957392817e-30, 5.5362608501514495e-32, -2.5575000656645995e-17,
> 7.3879960338026333e-16, 0.052246980157830372, -0.007670030643844231,
> -1.5468402204507243e-17, 1.0518757786432683e-17, 2.9992131812421253e-16,
> 1.6588830885081527e-17, -8.3276045185697992e-16, -3.3713008849128695e-15,
> 1.5823980389961169e-17, 2.2243227896948194e-15, -3.2071920299461956e-17,
> 5.0187645877462975e-18, -7.4622951185527265e-15, -0.44701112744184102,
> -1.854066605407503e-16, -5.2511356793649759e-30, -6.7993385117653912e-32,
> -1.5343740968067595e-18, -3.6785921616583949e-17, -0.0076700306438433133,
> 0.019231143599164325, 5.7818784939170702e-18, 1.7819897158350214e-17,
> -2.3927039320969442e-17, -3.9630951242056644e-18, 1.9779107704573469e-15,
> 7.8103367010164485e-15, -1.2351275675875924e-17, -8.6959160183013082e-15,
> -1.6013333002787863e-18, 3.0110116065267407e-19, 3.7155867714997651e-16,
> -0.12490087179942209, -2.2029631919898945e-16, -8.0869824211018481e-31,
> -5.0586739111186695e-33, 2.0667225433033359e-19, 1.0141735013231455e-18,
> 3.2845977347050714e-17, -2.9662734037779067e-19, 9.9595082331331027e-05,
> -1.9982466114987023e-18, 2.6420113469249318e-18, 5.2415327077690342e-19,
> 3.007533948014542e-18, -5.1128158961673558e-17, 6.7791246559883483e-19,
> -3.042327665547861e-15, 1.9523738271941284e-19, -4.0556768902105205e-20,
> -1.024372770865438e-17, -0.010638955366526863, 2.5786757042756338e-17,
> 1.3546130005558746e-32, 1.7947249868721723e-33, 1.9228405363682382e-19,
> -4.1209014001548407e-18, 1.5228291529275058e-17, 2.0443162438349059e-17,
> -1.9572693345249383e-18, 0.0012709581028842473, -0.0018515998737074948,
> 9.3128024867175073e-20, -5.1895788671618993e-17, 2.7373981615289174e-16,
> 1.2812977711597223e-17, -2.2792319486263267e-15, 4.1599503721278813e-19,
> -3.7733269771394201e-20, 4.16234419478765e-17, -1.5986158133468129e-16,
> -0.016037670900735834, -5.0763064708173244e-33, -1.0176066166236902e-50,
> -5.9296704797665404e-18, -8.0698801402861772e-17, 2.9646619457173492e-16,
> -2.8879431119718227e-17, 2.9393253663483117e-18, -0.0018515998737074959,
> 0.090335687736246548, 5.6849412731758135e-19, 8.8934458836007799e-17,
> -4.1390858756690365e-16, 4.120323677410211e-16, 2.8000915545933503e-15,
> 2.8094462743052983e-17, 1.1636214841356605e-18, 8.1510367497000071e-16,
> -3.004558574117108e-15, 0.0061666744014873013, -2.5381532354086619e-33,
> -2.7110175619881585e-34, -3.9720857469692968e-18, -2.2722246209861298e-17,
> 6.5087631702810744e-18, -5.8833898464959171e-18, 6.0598974659958357e-19,
> -6.4324667436451943e-19, -4.9865458549184915e-19, 0.010690736164778532,
> -2.5717220776886191e-17, -2.9932234433250055e-17, -1.7586566364625091e-32,
> -2.0572361612722435e-15, -4.1554892682395136e-18, 7.7947068522170098e-19,
> 2.2950757715435305e-16, -6.8563401956907788e-17, 8.3986032618135276e-18,
> -3.0929447793865389e-45, -9.1799940583213546e-47, 1.9205112318761867e-18,
> -6.309535361758424e-17, -8.5794270550008683e-16, 1.9513428795022368e-15,
> 6.975277535512248e-18, -6.2501857399599432e-17, 1.0008535047159303e-16,
> -2.6690493301637561e-17, 0.11645557445978426, -5.0477656527863884e-17,
> -1.9142598204346162e-30, -4.3865060631657549e-14, -9.2939338818469881e-18,
> -3.7687560169835257e-19, 6.3729886582182645e-16, -1.2613712396302566e-14,
> 7.8691203779893581e-16, -7.96410737362738e-44, -5.4321486152322576e-46,
> -1.7940674523534164e-17, -8.157501463813461e-17, -3.3732156955561982e-15,
> 7.677772572020035e-15, -4.7764170203097078e-17, 2.7500679201468897e-16,
> -3.9378464227822661e-16, -1.9805344603340844e-17, -2.0590552280380157e-16,
> 1.7227826719189774, -2.5152187296963038e-30, 1.7551764763918126e-14,
> -5.4770085336579068e-18, 3.5206263799487875e-18, 8.2395392572605337e-16,
> -4.1620820803543103e-14, -3.4715380153547894e-15, -3.0529078265571622e-43,
> -2.8046838240348109e-45, -2.5479250226286821e-32, 4.121297503793449e-18,
> 1.5823980389961397e-17, -1.235127567587614e-17, 1.0285610559852655e-18,
> 1.0765062746617977e-17, 4.1501588000780158e-16, 5.2738511582000153e-33,
> -1.6831260511527137e-30, -3.3541828527847257e-30, 3.7154414411814374,
> 3.4040266595702152e-15, 5.1153310393987592e-18, 4.9999747986237238e-33,
> -4.1627442819337855e-17, -1.3972969142201618e-16, -2.2035880670651683e-16,
> -7.2138653746624827e-47, 2.5041819857453665e-47, -1.0640003589174214e-15,
> -7.9766775252940816e-15, -1.86380928624219e-15, -2.0409565483972152e-14,
> -4.5010528758464713e-16, -2.5476765314056885e-15, 5.7438239741680622e-15,
> -5.1005913365528254e-15, -4.0052224901292309e-14, 2.0275682895130953e-14,
> 8.001473599959262e-15, 4342.0489349328445, -2.2045103993340862e-15,
> 2.087963708926218e-16, 8.0568968211307842e-14, 2.8167998366347968e-13,
> 3.1749229442581484e-14, 8.9567352491809379e-43, -2.3670298646799273e-44,
> 4.2781010071619158e-32, 2.5122662667827335e-17, -3.4359127754145909e-17,
> -1.4706600926070093e-18, 1.876439844639638e-19, -9.1730442893545148e-20,
> 2.8080363645722388e-17, -4.4705925750481468e-32, -7.809262716208445e-18,
> -5.8577085238749991e-19, 5.1153310393987515e-18, -6.9351338840590931e-16,
> 0.012093826986889086, -8.3952223993262708e-33, -2.5375314514710393e-16,
> 3.424781603493142e-16, -4.3266783076648891e-18, 7.3570155156909413e-45,
> 1.6171838713232998e-46, -0.00092251429799113343, -7.8240087156410085e-18,
> 2.1083287560348406e-17, -8.9775735933099227e-18, 3.2531284806658474e-20,
> -2.3137400470270888e-19, 7.166222774364368e-19, -1.6962655186338848e-19,
> 2.5417429127255315e-18, -2.1888401697215364e-19, 7.492787666039381e-33,
> 2.1373531604105888e-16, 5.2592866998595688e-19, 0.0053508323628379687,
> 6.939324860007723e-17, -1.1345120732507663e-16, -1.3255448103671732e-18,
> 1.0169078705557416e-16, -3.701528155571061e-19, -1.3050383760465465e-16,
> -0.129172198695584, -1.5780816956514754e-14, -1.1071526119482569e-15,
> -2.7949359117065728e-16, 9.8321930809926744e-17, 7.5470671367369062e-16,
> 1.9622092961540385e-16, 7.9567529294094524e-16, 4.1183571472477233e-16,
> -4.1627442819339772e-17, 1.2120022499676643e-13, -2.3248889366737827e-16,
> 1.4240632385802796e-17, 1.3217752807216008, 2.0311176273844298e-13,
> -1.9570716831733758e-15, 4.7962597568986823e-16, 2.9165264143720962e-17,
> 2.5255547350017705e-16, -7.2487511301945062e-15, -0.44701112744185578,
> -0.12490087179941219, -0.010638955366526433, -7.9593195538363592e-17,
> -3.0600743713008676e-15, -1.8184344227119647e-16, -1.2723803109870239e-14,
> -4.267580759582334e-14, -1.0227267431703487e-16, 3.9402946853735757e-13,
> 3.1994002076770255e-16, -4.2061670894524917e-17, 7.4223786548689626e-14,
> 7.0315216015826767, 2.2390669558248378e-15, -1.2244512793012972e-15,
> -3.5253412228046429e-17, -1.2061427540284553e-18, 9.9899822637462946e-17,
> -2.4550261028932595e-16, -2.5317628873304297e-16, 2.5199623506843722e-17,
> -0.016037670900735834, 0.0061666744014872909, -1.3133261974683634e-18,
> 6.5223470430906591e-16, -3.4512393153190672e-15, -2.4620056039335759e-16,
> 2.8862767590185475e-14, -1.0881366439433239e-17, -3.9120910874012715e-18,
> -1.2372606267786687e-15, 3.2639925872240233e-15, 0.30212469777249018,
> 4.3378386520217752e-16, 1.1399322374260218e-17, 2.5273795605894831e-18,
> 7.0372281397307745e-16, -1.4493840318281129e-15, 2.3909766400689098e-16,
> -2.3621724602135697e-17, 4.1164300362570093e-18, -5.9299103903990776e-18,
> -1.6549632537822852e-30, 2.0576427541669881e-29, 1.1492923590019121e-28,
> -3.4572603795675457e-31, -2.0561228611852425e-29, 2.1007427249504219e-30,
> 9.6204477501104748e-17, -6.7166997975872844e-15, 1.3428325376228686e-14,
> 3.3362903423571782e-16, 3.2947112676731014, 6.6046445483993014e-18,
> -4.0887487160499735e-20, -3.0968390611719402e-18, -6.0930441874738707e-19,
> -3.1404422740276848e-18, -5.6584069489838701e-20, 1.6491214275041756e-19,
> 6.3584544371811611e-22, 4.4921015596154276e-33, -3.1054789027110318e-31,
> -1.1913370661394943e-30, 3.0677051354054613e-33, 5.8136140932799355e-30,
> -4.0289214710854143e-33, 6.392220812489477e-19, 6.2007829741095621e-17,
> 1.0190707777780152e-17, 9.6388161040420896e-18, -4.3748284667364627e-18,
> 0.0054985968634936964), dim = c(19L, 19L), class = c("matrix"))
> 
> If I run the following several times, given that the same seed is used,
> I expect the numbers generated are the same:
> 
> set.seed(1234)
> MASS::mvrnorm(n = 5, mu = mu0, Sigma = sigma0)[1, 1:5]
> 
> However, this is not the case:
> 
>> set.seed(1234)
>> MASS::mvrnorm(n = 5, mu = mu0, Sigma = sigma0)[1, 1:5]
> [1]  0.4851605  0.5704446  1.6873036  2.7645014 -0.2020908
>> set.seed(1234)
>> MASS::mvrnorm(n = 5, mu = mu0, Sigma = sigma0)[1, 1:5]
> [1]  0.4851605  0.5704446  1.6872818  2.7644787 -0.2023346
>> set.seed(1234)
>> MASS::mvrnorm(n = 5, mu = mu0, Sigma = sigma0)[1, 1:5]
> [1]  0.4851605  0.5704446  1.6872818  2.7644787 -0.2023346
>> set.seed(1234)
>> MASS::mvrnorm(n = 5, mu = mu0, Sigma = sigma0)[1, 1:5]
> [1]  0.4851605  0.5704446  1.6873036  2.7645014 -0.2020908
> 
> It seems that the numbers in some columns alternate between
> two versions.
> 
> I understand that MKL can yield random numbers different from
> those generated in the "standard R", due to the output of
> eigen() used in MASS::mvrnorm(). However, should the numbers
> generated identical if the same seed is used?
> 
> This is the sessionInfo() output. I used a fresh installation of Ubuntu,
> installed MKL, and then compiled R-devel.
> 
>> sessionInfo()
> R Under development (unstable) (2023-08-15 r84957)
> Platform: x86_64-pc-linux-gnu
> Running under: Ubuntu 22.04.3 LTS
> 
> Matrix products: default
> BLAS/LAPACK: /opt/intel/oneapi/mkl/2023.2.0/lib/intel64/libmkl_rt.so.2;
>   LAPACK version 3.10.1
> 
> locale:
>   [1] LC_CTYPE=en_US.UTF-8       LC_NUMERIC=C
>   [3] LC_TIME=en_US.UTF-8        LC_COLLATE=en_US.UTF-8
>   [5] LC_MONETARY=en_US.UTF-8    LC_MESSAGES=en_US.UTF-8
>   [7] LC_PAPER=en_US.UTF-8       LC_NAME=C
>   [9] LC_ADDRESS=C               LC_TELEPHONE=C
> [11] LC_MEASUREMENT=en_US.UTF-8 LC_IDENTIFICATION=C
> 
> time zone: Asia/Shanghai
> tzcode source: system (glibc)
> 
> attached base packages:
> [1] stats     graphics  grDevices utils     datasets  methods   base
> 
> loaded via a namespace (and not attached):
> [1] MASS_7.3-60.1  compiler_4.4.0
> 
> I cannot create the same MKL R-devel machine used in CRAN checks.
> Therefore, I am not 100% certain whether the cause of the error
> is the same. Nevertheless, this phenomenon, non-identical random
> numbers generated even with the same seed, can explain the
> error I encountered.
> 
> Regards,
> Shu Fai
> 
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