inst/doc/sitmo_internals.R

In sitmo: Parallel Pseudo Random Number Generator (PPRNG) 'sitmo' Header Files

## #include <Rcpp.h>

## #include <sitmo.h>      // SITMO for C++98 & C++11 PPRNG

## #include <threefry.h>   // THREEFRY C++11-only PPRNG

## #include <vandercorput> // VANDERCORPUT C++11-only Low-discrepancy sequence


## // Generate engine called eng_org.

## sitmo::prng eng_org;

## 
## // Generate engine called eng_org.

## sitmo::threefry eng_tf;

## 
## // Generate engine called eng_vc.

## sitmo::vandercorput eng_vc;


## #include <Rcpp.h>

## #include <sitmo.h> // SITMO PPRNG

## 
## // [[Rcpp::depends(sitmo)]]

## 
## //' Example RNG Draws with sitmo

## //'

## //' Shows a basic setup and use case for sitmo.

## //'

## //' @param n A \code{unsigned int} is a .

## //' @return A \code{vec} with random sequences.

## //' @examples

## //' n = 10

## //' sitmo_draws(n)

## // [[Rcpp::export]]

## Rcpp::NumericVector sitmo_draws(unsigned int n) {

## 

##   Rcpp::NumericVector o(n);

## 

##   // Create a prng engine

##   sitmo::prng eng;

## 

##   // Draw from base engine

##   for (unsigned int i=0; i< n ; ++i){

##     o(i) = eng();

##   }

## 
##   return o;

## }


## #include <Rcpp.h>

## #include <sitmo.h> // SITMO PPRNG

## 
## // [[Rcpp::depends(sitmo)]]

## 
## //' Example Seed Set and RNG Draws with sitmo

## //'

## //' Shows how to set a seed in sitmo.

## //'

## //' @param n    An \code{unsigned int} that dictates how many realizations occur.

## //' @param seed An \code{unsigned int} that controls the rng seed.

## //' @return A \code{vector} with random sequences.

## //' @examples

## //' n = 10

## //' a = sitmo_engine_seed(n, 1337)

## //' b = sitmo_engine_seed(n, 1337)

## //' c = sitmo_engine_seed(n, 1338)

## //'

## //' isTRUE(all.equal(a,b))

## //' isTRUE(all.equal(a,c))

## // [[Rcpp::export]]

## Rcpp::NumericVector sitmo_engine_seed(unsigned int n, unsigned int seed) {

## 

##   // Create Rcpp Matrix

##   Rcpp::NumericVector o(n);

## 

##   // Create a prng engine with a specific seed

##   sitmo::prng eng(static_cast<uint32_t>(seed));

## 

##   // Draw from base engine

##   for (unsigned int i=0; i < n; ++i){

##     o(i) = eng();

##   }

## 
##   return o;

## }


## #include <Rcpp.h>

## #include <sitmo.h> // SITMO PPRNG

## 
## // [[Rcpp::depends(sitmo)]]

## 
## //' Example Seed Set and RNG Draws with sitmo

## //'

## //' Shows how to set a seed in sitmo.

## //'

## //' @param n    An \code{unsigned int} that dictates how many realizations occur.

## //' @param seed An \code{unsigned int} that controls the rng seed.

## //' @return A \code{matrix} with random sequences.

## //' @examples

## //' n = 10

## //' a = sitmo_engine_seed(n, 1337)

## //'

## //' isTRUE(all.equal(a[,1],a[,2]))

## // [[Rcpp::export]]

## Rcpp::NumericMatrix sitmo_engine_reset(unsigned int n, unsigned int seed) {

## 

##   // Create Rcpp Vector

##   Rcpp::NumericMatrix o(n,2);

## 

##   // Create a prng engine with a specific seed

##   sitmo::prng eng(static_cast<uint32_t>(seed));

## 

##   // Draw from base engine

##   for (unsigned int i=0; i < n ; ++i){

##     o(i,0) = eng();

##   }

## 

##   // Reset seed

##   eng.seed();

## 

##   // Draw from base engine

##   for (unsigned int i=0; i< n ; ++i){

##     o(i,1) = eng();

##   }

## 

##   return o;

## }


## #include <Rcpp.h>

## #include <sitmo.h> // SITMO PPRNG

## 
## // [[Rcpp::depends(sitmo)]]

## 
## //' Two RNG engines running side-by-side

## //'

## //' Shows how to create two separate RNGs and increase them together.

## //'

## //' @param n     An \code{unsigned int} that dictates how many realizations occur.

## //' @param seeds A \code{vec} containing two integers greater than 0.

## //' @return A \code{matrix} with random sequences.

## //' @examples

## //' n = 10

## //' a = sitmo_two_seeds(n, c(1337,1338))

## //'

## //' b = sitmo_two_seeds(n, c(1337,1337))

## //'

## //' isTRUE(all.equal(a[,1],a[,2]))

## //'

## //' isTRUE(all.equal(b[,1],b[,2]))

## //'

## //' isTRUE(all.equal(a[,1],b[,1]))

## // [[Rcpp::export]]

## Rcpp::NumericMatrix sitmo_two_seeds(unsigned int n, Rcpp::NumericVector seeds) {

## 

##   if(seeds.size() != 2) Rcpp::stop("Need exactly two seeds for this example.");

## 

##   // Create Rcpp Matrix

##   Rcpp::NumericMatrix o(n,2);

## 

##   // Create a prng engine with a specific seed

##   sitmo::prng eng1;

##   eng1.seed(seeds(0));

## 

##   sitmo::prng eng2;

##   eng2.seed(seeds(1));

## 
##   // Draw from base engine

##   for (unsigned int i=0; i< n ; ++i){

##     o(i,0) = eng1();

##     o(i,1) = eng2();

##   }

## 

##   return o;

## }


## #include <Rcpp.h>

## #include <sitmo.h> // SITMO PPRNG

## 
## // [[Rcpp::depends(sitmo)]]

## 
## //' Random Uniform Number Generator with sitmo

## //'

## //' The function provides an implementation of sampling from a random uniform distribution

## //'

## //' @param n    An \code{unsigned integer} denoting the number of realizations to generate.

## //' @param min  A \code{double} indicating the minimum \eqn{a} value

## //'               in the uniform's interval \eqn{\left[a,b\right]}

## //' @param max  A \code{double} indicating the maximum \eqn{b} value

## //'               in the uniform's interval \eqn{\left[a,b\right]}

## //' @param seed A special \code{unsigned integer} containing a single seed.

## //' @return A \code{vec} containing the realizations.

## //' @export

## //' @examples

## //' a = runif_sitmo(10)

## // [[Rcpp::export]]

## Rcpp::NumericVector runif_sitmo(unsigned int n, double min = 0.0, double max = 1.0, uint32_t seed = 1) {

##   Rcpp::NumericVector o(n);

## 

##   // Create a prng engine

##   sitmo::prng eng(seed);

##   // Obtain the range between max and min

##   double dis = max - min;

## 

##   for(int i = 0; i < n; ++i) {

##     // Sample from the RNG and divide it by the maximum value possible (can also use SITMO_RAND_MAX, which is 4294967295)

##     // Apply appropriate scale (MAX-MIN)

##     o[i] = min + ((double) eng() / (sitmo::prng::max())) * (dis);

##   }

## 

##   return o;

## }


## #ifdef _OPENMP

## #include <omp.h>

## #endif


## #ifdef _OPENMP

## // multithreaded OpenMP version of code

## #else

## // single-threaded version of code

## #endif


## PKG_LIBS =  $(LAPACK_LIBS) $(BLAS_LIBS) $(FLIBS) $(SHLIB_OPENMP_CFLAGS)

## PKG_CFLAGS = $(SHLIB_OPENMP_CFLAGS)


## #include <Rcpp.h>

## #include <sitmo.h> // SITMO PPRNG

## 
## // [[Rcpp::depends(sitmo)]]

## 
## #ifdef _OPENMP

## #include <omp.h>

## #endif

## 
## // [[Rcpp::plugins(openmp)]]

## 
## //' Test Generation using sitmo and C++11

## //'

## //' The function provides an implementation of creating realizations from the default engine.

## //'

## //' @param n An \code{unsigned integer} denoting the number of realizations to generate.

## //' @param seeds A \code{vec} containing a list of seeds. Each seed is run on its own core.

## //' @return A \code{vec} containing the realizations.

## //' @details

## //' The following function's true power is only accessible on platforms that support OpenMP (e.g. Windows and Linux).

## //' However, it does provide a very good example as to how to make ones code applicable across multiple platforms.

## //'

## //' With this being said, how we determine how many cores to split the generation to is governed by the number of seeds supplied.

## //' In the event that one is using OS X, only the first seed supplied is used.

## //'

## //' @export

## //' @examples

## //' a = sitmo_parallel(10, 5.0, c(1))

## //'

## //' b = sitmo_parallel(10, 5.0, c(1))

## //'

## //' c = sitmo_parallel(10, 5.0, c(2))

## //'

## //' isTRUE(all.equal(a,b))

## //'

## //' isTRUE(all.equal(a,c))

## // [[Rcpp::export]]

## Rcpp::NumericVector sitmo_parallel(unsigned int n, Rcpp::NumericVector& seeds){

## 

##   unsigned int ncores = seeds.size();

## 
##   Rcpp::NumericVector q(n);

## 

##   #ifdef _OPENMP

##   #pragma omp parallel num_threads(ncores) if(ncores > 1)

##   {

##   #endif

## 

##     // Engine requires uint32_t inplace of unsigned int

##     uint32_t active_seed;

## 

##     // Write the active seed per core or just write one of the seeds.

##     #ifdef _OPENMP

##       active_seed = static_cast<uint32_t>(seeds[omp_get_thread_num()]);

##     #else

##       active_seed = static_cast<uint32_t>(seeds[0]);

##     #endif

## 

##     sitmo::prng eng( active_seed );

## 

##     // Parallelize the Loop

##     #ifdef _OPENMP

##     #pragma omp for schedule(static)

##     #endif

##     for (unsigned int i = 0; i < n; i++){

##       q[i] = eng().

##     }

## 
##   #ifdef _OPENMP

##   }

##   #endif

## 

##   return q;

## }