Timing normal RNGs

Dirk Eddelbuettel — Jan 16, 2013 | source

In previous articles, we have seen that Rcpp can be particularly useful for simulations as it executes code at C++ speed. A very useful feature the API provided by R is the access to the R RNGs so that simulations at the C++ level can get precisely the same stream of random numbers as an R application would.

But sometimes that is not a requirement, and here will look into drawing normals from R, from the random number generator in Boost and the new one in C++11.

A first approach is by far the easiest: using Rcpp and its sugar function which reduces this to a single statement.

#include <Rcpp.h>

using namespace Rcpp;

// [[Rcpp::export]]
NumericVector rcppNormals(int n) {
    RNGScope scope;             // also done by sourceCpp()
    return rnorm(n);
}

A quick test:

set.seed(42)
rcppNormals(10)
 [1]  1.37096 -0.56470  0.36313  0.63286  0.40427 -0.10612  1.51152
 [8] -0.09466  2.01842 -0.06271

Next, the same via Boost. The caveats from the previous two Boost pieces apply: on some systems you may have to ensure access to the Boost headers, on some (such as my Linux system) it just works.

#include <Rcpp.h>

#include <boost/random.hpp>
#include <boost/generator_iterator.hpp>
#include <boost/random/normal_distribution.hpp>

using namespace std;
using namespace Rcpp;

// [[Rcpp::export]]
NumericVector boostNormals(int n) {
    
    typedef boost::mt19937 RNGType; 	// select a generator, MT good default
    RNGType rng(123456);			// instantiate and seed

    boost::normal_distribution<> n01(0.0, 1.0);
    boost::variate_generator< RNGType, boost::normal_distribution<> > rngNormal(rng, n01);

    NumericVector V(n);
    for ( int i = 0; i < n; i++ ) {
        V[i] = rngNormal();
    };
  
    return V;
}

A second test:

boostNormals(10)
 [1]  0.8400  0.8610  2.0907 -0.4437 -0.1029  1.5609  1.3874 -1.0453
 [9] -1.6558  1.6198

And now for the same using the random number generator added to C++11. Here, the same caveats apply as before: we need to enable the C++11 extensions:

Sys.setenv("PKG_CXXFLAGS"="-std=c++11")
# or
# Sys.setenv("PKG_CXXFLAGS"="-std=c++0x")

That way, we can compile this code:

#include <Rcpp.h>
#include <random>

using namespace Rcpp;

// [[Rcpp::export]]
NumericVector cxx11Normals(int n) {

    std::mt19937 engine(42);
    std::normal_distribution<> normal(0.0, 1.0);

    NumericVector V(n);
    for ( int i = 0; i < n; i++ ) {
        V[i] = normal(engine);
    };

    return V;
}

And run it:

cxx11Normals(10)
 [1] -0.5502  0.5154  0.4739  1.3685 -0.9168 -0.1241 -2.0110 -0.4928
 [9]  0.3926 -0.9292

Lastly, we can compare the runtime for these three in a quick benchmark study.

library(rbenchmark)

n <- 1e5

res <- benchmark(rcppNormals(n),
                 boostNormals(n),
                 cxx11Normals(n),
                 order="relative",
                 replications = 500)
print(res[,1:4])
             test replications elapsed relative
3 cxx11Normals(n)          500   3.764    1.000
1  rcppNormals(n)          500   4.102    1.090
2 boostNormals(n)          500   4.353    1.156

In this particularly example, all the RNGs take roughly the same time. It would be interesting to see how the Ziggurat algorithm (which is known to produce Normals rather fast) would fare.

tags: rng  boost  c++11 

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