[R-SIG-Mac] rnorm.halton

[Anirban Mukherjee]

Sorry, what I should have said was Halton numbers are quasi-random,
and not pseudo-random. Quasi-random is the technically appropriate
terminology.

Halton sequences are low discrepancy: the subsequence looks/smells
random. Hence, they are often used in quasi monte carlo simulations.
To be precise, there is only 1 Halton sequence for a particular prime.
Repeated calls to Halton should return the same numbers. The first
column is the Halton sequence for 2. the second for 3, the third for 5
and so on using the first M primes (for M columns). (You can also
scramble the sequence to avoid this.)

I am using them to integrate over a multivariate normal space. If you
take 1000 random draws, then sum f() over the draws is the expectation
of f(). If f() is very non-linear (and/or multi-variate) then even
with large N, its often hard to get a good integral. With quasi-random
draws, the integration is better for the same N. (One uses the inverse
distribution function.) For an example, you can look at Train's paper
(page 4 and 5 have a good explanation) at:

http://elsa.berkeley.edu/wp/train0899.pdf

In the context of simulated maximum likelihood estimation, such
integrals are very common. Of course true randomness has its own
place/importance: its just that quasi-random numbers can be very
useful in certain contexts.

Regards,
Anirban

PS: qnorm(halton()) gets around the problem of the random deviates not working.

On Tue, Sep 15, 2009 at 11:37 AM, David Winsemius
<dwinsemius at comcast.net> wrote:
>
> On Sep 15, 2009, at 11:10 AM, Anirban Mukherjee wrote:
>
>> Thanks everyone for your replies. Particularly David.
>>
>> The numbers are pseudo-random. Repeated calls should/would give the
>> same output.
>
> As I said, this package is not one with which I have experience. It
> has _not_ however the case that repeated calls to (typical?) random
> number functions give the same output when called repeatedly:
>
>  > rnorm(10)
>   [1] -0.8740195  2.1827411 -0.1473012 -1.4406262  0.1820631
> -1.3151244 -0.4813703  0.8177692
>   [9]  0.2076117  1.8697418
>  > rnorm(10)
>   [1] -0.7725731  0.8696742 -0.4907099  0.1561859  0.5913528
> -0.8441891  0.2285653 -0.1231755
>   [9]  0.5190459 -0.7803617
>  > rnorm(10)
>   [1] -0.9585881 -0.0458582  1.1967342  0.6421980 -0.5290280
> -1.0735112  0.6346301  0.2685760
>   [9]  1.5767800  1.0864515
>  > rnorm(10)
>   [1] -0.60400852 -0.06611533  1.00787048  1.48289305  0.54658888
> -0.67630052  0.52664127 -0.36449997
>   [9]  0.88039397  0.56929333
>
> I cannot imagine a situation where one would _want_ the output to be
> the same on repeated calls unless one reset a seed. Unless perhaps I
> am not understanding the meaning of "random" in the financial domain?
>
> --
> David
>
>>  Currently, Halton works fine when used to just get the
>> Halton sequence, but the random deviates call is not working in 64 bit
>> R. For now, I will generate the numbers in 32 bit R, save them and
>> then load them back in when using 64 bit R. The package maintainers
>> can look at it if/when they get a chance and/or access to 64 bit R.
>>
>> Thanks!
>>
>> Best,
>> Anirban
>>
>> On Tue, Sep 15, 2009 at 9:01 AM, David Winsemius <dwinsemius at comcast.net
>> > wrote:
>>> I get very different output from the two versions of Mac OSX R as
>>> well. The 32 bit version puts out a histogram that has an expected,
>>> almost symmetric unimodal distribution. The 64 bit version created a
>>> bimodal distribution with one large mode near 0 and another smaller
>>> mode near 10E+37. Postcript output attached.
>>>
>>
>>
>>
>> --
>> Anirban Mukherjee | Assistant Professor, Marketing | LKCSB, SMU
>> 5062 School of Business, 50 Stamford Road, Singapore 178899 |
>> +65-6828-1932
>>
>> _______________________________________________
>> R-SIG-Mac mailing list
>> R-SIG-Mac at stat.math.ethz.ch
>> https://stat.ethz.ch/mailman/listinfo/r-sig-mac
>
> David Winsemius, MD
> Heritage Laboratories
> West Hartford, CT
>
>



-- 
Anirban Mukherjee | Assistant Professor, Marketing | LKCSB, SMU
5062 School of Business, 50 Stamford Road, Singapore 178899 | +65-6828-1932