On 18 Apr 2014, at 06:54, Steven Watanabe wrote:

AMDG

On 04/17/2014 04:19 PM, Thijs van den Berg wrote:

...

I've completed a nice new random engine that I would like to propose for addition to boost/random.

The engine is called "threefry" and it's based on the paper "Parallel random numbers: as easy as 1, 2, 3" by Salmon, John K. and Moraes, Mark A. and Dror, Ron O. and Shaw, David E.

I've been using it myself a lot for the last couple of years, and now I've rewritten it so that it will fit in the boost random framework and adhere to the concepts. It has some really nice properties, in particular for large scale parallel computing: * High quality randomness (according to the BigCrush tests) with a cycle length of 2^258 * Fast (comparable to Mersenne Twister) & little memory usage (13x 64 bit integers) * O(1) discard and guarantees for non-overlapping sequences when the (up to 256 bit) seeds are unequal

I've uploaded the code, description and tests to https://github.com/sitmo/threefry The actual engine is at https://github.com/sitmo/threefry/blob/master/random/include/boost/random/th...

I would really appreciate any feedback about the idea for inclusion and of course comments about the quality of the code,tests,docs

I /really/ dislike the constraint that rounds shall be 13 or 20. It looks like encrypt_counter follows a regular pattern. I'd strongly prefer it to be implemented as a loop and allow rounds to be any non-negative integer. Not all possible values make sense, but that's normal. You have to know what you're doing when you define a specialization of any random number engine. Very good. I’ll have to change things a a bit. The algorithm has indeed reppetitive patterns of multiples of length 4 and 8. I’ll make it an unconstrained integer and a loop.

Do not use reinterpret_cast in operator(). The behavior is undefined, and will certainly differ depending on endianness.

I did this for speed and I didn’t worry about endianness because it never crossed my mind. Changing the order of bits/bytes should not affect the quality of the randomness, but it’s indeed not nice to have different behaviour on different machines. I’ll fix this.

I'm not sure that I like the fact that the textual representation interleaves the three arrays. Also output is a function of key and counter and does not need to be stored. (The same observation applies to the comparison operators)

Yes, I’ve already changed that.

Is it really a good idea to expose set_key/set_counter?

Indeed, it’s not needed, I’ve moved them to private.

It would be better to have an explicit width parameter, like mersenne_twister instead of relying on the size of UIntType. Ok, this takes a bit of time but it’s not dramatic. It’s something that combines nicely with the operator() point.

I'd also prefer to see uint_least64_t in place of uint64_t. OK.

(Actually I'd like it even more if the arrays stored UIntType, but this doesn't look particularly feasible, given the way the algorithm works.) This algorithm is what they call the 4x64 variant. The paper also talks about a 2x64 and 4x32 variants (but e.g. not 8x32, 2x32). However I’m not sure if we need to implement all the variant the’ve studied (maybe yes, maybe no). They recommend 4x64 with 20 rounds as the best choice for CPU’s and that’s the main one I want to provide. AFAIK the state and the return_type need not be the same. Any 32 bit engine can be turned into a 64 engine by patching two returns together.

The 32 bit state type versions have different constants in the repetitive operators. The authors also studies variants with different cryptographic functions. E.g. one uses EAS (but that has a different name than threefry) which can be faster on CPU's supports EAS instructions. It however calls for assembler. There is also a 3rd variant that targets CUDA machines. In a wider setting all these variant use a counter and a cryptographic function (which probably all use a key?). I haven’t studies the other variants. Perhaps we can later refactor -without changing the interface- the code when we decide to add more variants? E.g. can we stick to the 4x64 threefry algorithm function, have two versions that return either 32 or 64 bit integers specified by a width argument. The two other variant 2x64 and 4x32 could perhaps be added later, those are however not recommended by the paper. I would call the 4x64 part of the algorithm, not NxM with template arguments that can be tweaked by smart users.

Don't put usings in namespace boost. The other engines have using declarations for backwards compatibility, which is not a concern for a new engine.

Ok.

Run inspect (http://www.boost.org/tools/inspect). There's at least one use of max that needs to be protected.

Excellent, I didn’t know it’s existence, sound very handy. Thanks for the useful feedback, it’s much appreciated.

In Christ, Steven Watanabe

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On 19 Apr 2014, at 19:46, Steven Watanabe wrote:

AMDG

On 04/18/2014 02:00 AM, Thijs van den Berg wrote:

...

This algorithm is what they call the 4x64 variant. The paper also talks about a 2x64 and 4x32 variants (but e.g. not 8x32, 2x32). However I’m not sure if we need to implement all the variant the’ve studied (maybe yes, maybe no). They recommend 4x64 with 20 rounds as the best choice for CPU’s and that’s the main one I want to provide.

If the algorithm is basically the same and only differs by some constants in the mixing function, then these constants can be turned into template parameters. If the differences are more significant, then it should be handled by a separate engine template, and there's no need to worry about it at this point. Right now I’m having performance issues with just this 4x64 version & an arbitrary rounds extension.

* I have a un-rolled version “encrypt_counter()” that handles up to 20 rounds (or less), and which has all the constants hard coded in the code. This version times 13.8 CPU cycles for 20 rounds. * I have an arbitrary round version “encrypt_counter_0()” which looks much nicer from a code point of view, it has a loop and static const arrays containing the rotation constants (that repeat every 8 round). However, it takes 42 CPU cycles for the same 20 rounds. I’ve tried many variants and I just can’t make the loop version at fast as the un-rolled one… Perhaps someone can explain why that is? https://github.com/sitmo/threefry/blob/master/random/include/boost/random/th... * initially I had a 13 and 20 rounds version. The 13 round version was supposed to be the lowest rounds version to pass all the BigCrush test, but in my tests it failed one out of the 160 tests. That’s perhaps still better than MT which failed 2 or 3 tests (depending on the version of MT) but "failing only 1 test" is not a perfect selling point. Perhaps 14 round would solve that? The 20 rounds version advised in the paper has 7 extra round as "a big safety margin" and that one passes indeed all BigCrunch tests. My view now is: * I think we should just provide the 20 rounds version by default and allow developers to pick less rounds -and gain a little speed- if they know what they are doing. * I like the "big safety margin” for a default option, I gives you trust that you can pick this engine if you want the “the highest quality random numbers”. I think we shouldn’t predefine the 13 rounds version with a typedef. * The factor 2.5 in speed drop for writing an arbitrary round loop version is not worth it IMO. So I propose: * to only typedef the 20 rounds version, allow for less round via a template argument: * the predefined typedef engines could be named threefry4x64_20 (20 rounds, 32 bit integers result_type) and threefry4x64_20_64 (20 rounds, 64 bit integers result_type). This naming conventions allows all the other variant to be added later if we want to. * have an upper bound of 20 rounds instead of arbitrary rounds because of performance issues I can’t solve. ..this give an engine with the follow properties.. * It is the author’s pick * it is very fast, 13.8 CPU cycles, I don’t expect I can improve the speed of the un-rolled code any further * it has the highest random quality * it has great features for large scale parallel computing What’s your view on limiting the round to <=20 for the template and providing only the 20 round as a typedef? I have addressed most other points you’ve mentioned, but the performance issue of a generic rounds version has failed me.

...

AFAIK the state and the return_type need not be the same. Any 32 bit engine can be turned into a 64 engine by patching two returns together.

This can be done outside of threefry by independent_bits_engine.

In Christ, Steven Watanabe

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On 20 Apr 2014, at 01:39, Steven Watanabe wrote:

AMDG

On 04/19/2014 04:35 PM, Thijs van den Berg wrote:

...

What’s your view on limiting the round to <=20 for the template

I still don't like it. If all else fails, you can use the optimized version for rounds <= 20, and the slow version for rounds > 20. Ok, that’s a good last resort.

...

and providing only the 20 round as a typedef?

I'd favor providing both. There are plenty of inferior algorithms in Boost.Random. I would anticipate that anyone who wants to use an algorithm other than mt19937 would have some idea of the tradeoffs.

Ok.

...

I have addressed most other points you’ve mentioned, but the performance issue of a generic rounds version has failed me.

In theory it could be optimized. What compiler and optimization settings are you using? In particular, are you using -funroll-loops (GCC)? The version you show unrolls the loop 4x. What if you unroll 8x and kill the constant arrays? What about 20x and eliminate the % 5 in the key addition? Or 40x and eliminate both?

Yes, good ideas. I think I’m going to make a template version that eliminated array indices computations. Right now I was using the default build of the performance tool in random with Clang-503.0.38 on apple dadrwin. I’m now compile and time in manually. One thing I found earlier is that the compiler recognises rotl only with -O3. However, that’s a different issues than the loop/ un-rolled version.

In Christ, Steven Watanabe

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On Sun, Apr 20, 2014 at 7:17 AM, Thijs van den Berg wrote:

... // loop version threefry4x64_08_64: 10.2318 nsec/loop = 19.13350 CPU cycles threefry4x64_13_64: 14.3048 nsec/loop = 26.75000 CPU cycles threefry4x64_20_64: 22.6186 nsec/loop = 42.29680 CPU cycles threefry4x64_99_64: 100.0110 nsec/loop = 187.02200 CPU cycles

// 40x manual unrolled version threefry4x64_08_64: 3.7386 nsec/loop = 6.99118 CPU cycles threefry4x64_13_64: 5.1223 nsec/loop = 9.57870 CPU cycles threefry4x64_20_64: 7.3078 nsec/loop = 13.66560 CPU cycles threefry4x64_99_64: 29.3599 nsec/loop = 54.90300 CPU cycles

You may want to ask others to run the tests with various CPU's and compilers. Making optimization decisions based on a single platform can be quite misleading.

Remember Knuth's famous quote: "*premature optimization is the root of all evil*":-) --Beman

On Apr 19, 2014, at 6:35 PM, Thijs van den Berg wrote:

I have addressed most other points you’ve mentioned, but the performance issue of a generic rounds version has failed me.

Have you considered compile-time recursion to emit an unrolled loop with some max rounds?

On 18/04/14 10:00, Thijs van den Berg wrote:

...

Do not use reinterpret_cast in operator(). The behavior is undefined, and will certainly differ depending on endianness.

I did this for speed and I didn’t worry about endianness because it never crossed my mind. Changing the order of bits/bytes should not affect the quality of the randomness, but it’s indeed not nice to have different behaviour on different machines. I’ll fix this.

Personally I would want this engine to produce exactly the same results as the reference random123 implementation for a given seed. This should be the case regardless of the platform used.

On Apr 20, 2014, at 5:18 PM, Mathias Gaunard wrote:

On 18/04/14 10:00, Thijs van den Berg wrote:

...

...

Do not use reinterpret_cast in operator(). The behavior is undefined, and will certainly differ depending on endianness.

I did this for speed and I didn’t worry about endianness because it never crossed my mind. Changing the order of bits/bytes should not affect the quality of the randomness, but it’s indeed not nice to have different behaviour on different machines. I’ll fix this.

Personally I would want this engine to produce exactly the same results as the reference random123 implementation for a given seed.

This should be the case regardless of the platform used.

I totally agree, I want that too. Ive removed the reinterpret_cast, but it would be nice if we could very its behavior, eg on a platform that has different endianness.

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On 21 Apr 2014, at 22:28, John Salmon wrote:

On Fri, Apr 18, 2014 at 4:00 AM, Thijs van den Berg wrote:

...

On 18 Apr 2014, at 06:54, Steven Watanabe wrote:

...

AMDG

On 04/17/2014 04:19 PM, Thijs van den Berg wrote:

...

I've completed a nice new random engine that I would like to propose for addition to boost/random.

The engine is called "threefry" and it's based on the paper "Parallel random numbers: as easy as 1, 2, 3" by Salmon, John K. and Moraes, Mark A. and Dror, Ron O. and Shaw, David E.

I've been using it myself a lot for the last couple of years, and now I've rewritten it so that it will fit in the boost random framework and adhere to the concepts. It has some really nice properties, in particular for large scale parallel computing: * High quality randomness (according to the BigCrush tests) with a cycle length of 2^258 * Fast (comparable to Mersenne Twister) & little memory usage (13x 64 bit integers) * O(1) discard and guarantees for non-overlapping sequences when the (up to 256 bit) seeds are unequal

I've uploaded the code, description and tests to https://github.com/sitmo/threefry The actual engine is at https://github.com/sitmo/threefry/blob/master/random/include/boost/random/th...

I would really appreciate any feedback about the idea for inclusion and of course comments about the quality of the code,tests,docs

I /really/ dislike the constraint that rounds shall be 13 or 20. It looks like encrypt_counter follows a regular pattern. I'd strongly prefer it to be implemented as a loop and allow rounds to be any non-negative integer. Not all possible values make sense, but that's normal. You have to know what you're doing when you define a specialization of any random number engine. Very good. I’ll have to change things a a bit. The algorithm has indeed reppetitive patterns of multiples of length 4 and 8. I’ll make it an unconstrained integer and a loop.

...

Do not use reinterpret_cast in operator(). The behavior is undefined, and will certainly differ depending on endianness.

I did this for speed and I didn’t worry about endianness because it never crossed my mind. Changing the order of bits/bytes should not affect the quality of the randomness, but it’s indeed not nice to have different behaviour on different machines. I’ll fix this.

...

I'm not sure that I like the fact that the textual representation interleaves the three arrays. Also output is a function of key and counter and does not need to be stored. (The same observation applies to the comparison operators)

Yes, I’ve already changed that.

...

Is it really a good idea to expose set_key/set_counter?

Indeed, it’s not needed, I’ve moved them to private.

...

It would be better to have an explicit width parameter, like mersenne_twister instead of relying on the size of UIntType. Ok, this takes a bit of time but it’s not dramatic. It’s something that combines nicely with the operator() point.

...

I'd also prefer to see uint_least64_t in place of uint64_t. OK.

...

(Actually I'd like it even more if the arrays stored UIntType, but this doesn't look particularly feasible, given the way the algorithm works.) This algorithm is what they call the 4x64 variant. The paper also talks about a 2x64 and 4x32 variants (but e.g. not 8x32, 2x32). However I’m not sure if we need to implement all the variant the’ve studied (maybe yes, maybe no). They recommend 4x64 with 20 rounds as the best choice for CPU’s and that’s the main one I want to provide. AFAIK the state and the return_type need not be the same. Any 32 bit engine can be turned into a 64 engine by patching two returns together.

The 32 bit state type versions have different constants in the repetitive operators. The authors also studies variants with different cryptographic functions. E.g. one uses EAS (but that has a different name than threefry) which can be faster on CPU's supports EAS instructions. It however calls for assembler. There is also a 3rd variant that targets CUDA machines. In a wider setting all these variant use a counter and a cryptographic function (which probably all use a key?). I haven’t studies the other variants.

Perhaps we can later refactor -without changing the interface- the code when we decide to add more variants? E.g. can we stick to the 4x64 threefry algorithm function, have two versions that return either 32 or 64 bit integers specified by a width argument. The two other variant 2x64 and 4x32 could perhaps be added later, those are however not recommended by the paper. I would call the 4x64 part of the algorithm, not NxM with template arguments that can be tweaked by smart users.

Greetings,

I'm an author of the original Threefry implementation and the paper that describes it

First, let me say that I'm extremely happy to see our work being considered for boost, and I thank Thijs for initiating the discussion.

But it seems to me that the code under discussion is too specifically related to Threefry itself. Threefry is one of a potentially large class of random number generators that derive their power from a stateless random function rather than a stateful random generator. We called these "Counter Based Random Number Generators" in our SC11 paper, but perhaps "stateless" would have been a better name. We described three new classes of generators: Threefry, Philox and ARS, and noted that others have been discussed in the past, including generators based on DES, MD5, SHA-1 and TEA. We hope that more will be discovered/described in the future.

It is the *statelessness* of the underlying function, which is common to all of them, that makes them so well-suited to parallelization. Statelessness allows them all to trivially 'discard' values and to create practically unlimited numbers of non-overlapping streams. It allows applications to easily associate statistically independent random sequences with individual logical computational objects (atoms, grid cells, ticker symbols, data points, timesteps, etc.), independent of physical location (thread id, node number, etc).

I would love to see a boost implementation that captured and exposed this capability for general use. Thus, I think a better approach is as follows:

- define a new "RandomFunction" concept that dscribes/enforces the essential, common features of the randomizing function in Threefry, Philox, ARS and other counter-based random generators.

- implement a Threefry (and perhaps other) function templates that model RandomFunction.

- implement an adapter that produces a bona fide "Random Number Engine" (c.f. C++11 standard section 26.5.1.4 [rand.req.eng]) from any RandomFunction. This is where we bridge the gap between the new RandomFunction and the conventional "generators" whose interface is already well-defined. This adapter lets us use a new RandomFunction, e.g., Threefry, with code that expects to talk to an "Engine".

It would be similar to the r123::Engine class documented at http://www.thesalmons.org/john/random123/releases/1.08/docs/structr123_1_1En... but completely rewritten to avoid the C99/C++03/CUDA/OpenCL baggage that clutters/obscures that code.

- implement an adapter that produces a bona fide "Uniform Random Number Generator" (c.f. 26.5.1.3 [rand.req.urng]). Similarly inspired by the MicroURNG adapter documented at http://www.thesalmons.org/john/random123/releases/1.08/docs/classr123_1_1Mic... but again, completely rewritten.

This feels like the right level of generality to me. I'd love to discuss this further and reach consensus - especially the details of the RandomFunction concept. If there seems to be interest, I'd be happy to do some coding as well. In any case, let me reiterate my appreciation for Thijs' work.

Hi John, Good to hear form you! In my view we could indeed decompose the design into something like * a “counter”, tied to the random engine discard() and have O(1) * function specific constants and variables (like the key in threefry, or perhaps the rotation constants?) and tie some of those to the seed(). Other options are to tie the seed to the counter, but that would result in something you can already achieve with the discard. and merge the two together into a boost engine (which is a superset of the c++11 engine, it has an additional generate() member function) On the other hand, -from a user perspective-, it shouldn’t matter much *how* the engines are constructed as long as they provide a random engine interface. My plan was to have a narrow scope and get a good engine in production within a short timeframe. I know that little design details can cost *a lot* of time and those can sometimes cause projects to retire before they even get completed, ..that’s my biggest worry (I’ve seen quite a few ambitious things in the boost sandbox), I remember you talking about this a long time ago but it didn’t materialise. I’ve used the threefry a lot myself -wrote my own version-, and I like it a lot -I think it’s a brilliant idea in many ways-, and so my goal was to have a narrow scope, deliver, and make sure that people could start using it. The perfect way forward for me would be to come up with a generic “crypto counter” template interface like you suggest of which the current threefry would be a specialisation (the function, state etc).That way we could finalise the current threefry, and absorb it in a bigger project later. *but* in case the bigger projects ends in the sandbox, we would still has this initial threefry. ..so I *really* like the idea -I’ll join the project if you like-, but I’m worried about the risks of widening the scope. Cheers, Thijs

Cheers, John Salmon

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On Apr 22, 2014, at 1:51 AM, Steven Watanabe wrote:

AMDG

On 04/21/2014 02:28 PM, John Salmon wrote:

...

<snip> I would love to see a boost implementation that captured and exposed this capability for general use. Thus, I think a better approach is as follows:

- define a new "RandomFunction" concept that dscribes/enforces the essential, common features of the randomizing function in Threefry, Philox, ARS and other counter-based random generators.

I don't think this is a particularly useful abstraction. Most users should not care at all about this, since they should be using the predefined engine typedefs. If more similar generators are added later, then the implementation can be adjusted to factor out the common boilerplate, but I really don't see the point of creating a whole new concept for this.

I'm still working a bit on the boilerplate and at some point it should be correct, then John and/or I could use it as a template for other similar engines and factor out the common elements. Additional engines should be easier because a lot of time is spend on the boilerplate and that will indeed be very similar across these engines. Since John knows all about the algorithmic parts and has implementations it should be easier to add those too. How about the following steps: * first finalize the current threefry submission and make sure that all aspects are boost compliant. That would finalize my initial mission. * check the scalability of the naming convention of the predefined typedefs. * then work on additional engines, possibly factoring our common boilerplate. For this I think John should take the lead?

In Christ, Steven Watanabe

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AMDG On 04/22/2014 08:51 AM, John Salmon wrote:

<snip> With sequential generators, a sufficiently motivated and careful user can use the discard() function to initialize multiple generators in parallel. For most generators, discard(N) is O(N), defeating its use for this purpose, but for a few (including Threefry), discard(N) is O(1) making this a practical, but hardly elegant or natural approach to parallelism.

FWIW, discard isn't inherently O(N) for most generators. Faster algorithms exist, but are not widely implemented.

<snip> A better approach is to devise a trivial, application-specific mapping of time (iteration number) plus some stable aspect your logical elements (e.g., atom id) into unique 128-bit inputs. You can now obtain the random values you need, wherever and whenever you need them simply by generating a unique 128-bit input and calling the RandomFunction. There is no space overhead. If your parallel algorithm dictates that you need the same random value, e.g., to perform an "update" in two different threads or nodes, you just call the RandomFunction with the appropriate arguments wherever you need it and you get the results you need, where you need them. In parallel applications this is much more natural than trying to divvy up a single stream into multiple substreams by 'discarding' or 'jumping' an inherently sequential state. It is cheaper and easier than associating a stateful generator with each of your logical objects and worrying about the storage and bandwidth to keep them in-sync across the threads/nodes of a parallel computation.

The problem I have with this, basically comes down to encapsulation. - distributions consume an unspecified number of random values. I have no idea how to make the distributions work with a RandomFunction, besides requiring them to use a 1-to-1 mapping. Even with 64-bit values, this limits the precision of the random variates. - Taking this one step farther, how can I write a generic function which uses an arbitrary RandomFunction to generate a sequence of k random variates? There's no way to know a priori how many unique inputs I would need. Even if k is constant, it still depends on the block size of the RandomFunction. - A RandomFunction is strictly a PRNG interface. It doesn't work very well for expressing other sources of random values, such as /dev/urandom, specialized devices, and www.random.org. I think that we can get most of the benefits of a RandomFunction without going away from the Engine concept, if we add a couple of extra guarantees for engines intended for parallel use: - seeding a new engine is fast - distinct seeds (within some limits) produce uncorrelated sequences. Both of these properties are trivial for Engines based on RandomFunctions. In Christ, Steven Watanabe

Thijs van den Berg wrote:

FYI, -as a design experiment- I’m refactoring the threefry engine to see if John’s idea is better. Even if the RandomFunction concept never makes it, then it might still result in better reusable components that make it easier to develop additional engines based on these random functions.

A RandomFunction is basically a high-grade hash function, right? If so, it might be worth investigating whether to switch Boost.Hash to use the threefry random function. There are people who find it inconvenient that hash_value( 5 ) is 5 and would rather prefer a "random" output.

On Tue, Apr 22, 2014 at 12:25 PM, Steven Watanabe wrote:

AMDG

On 04/22/2014 08:51 AM, John Salmon wrote:

...

<snip> A better approach is to devise a trivial, application-specific mapping of time (iteration number) plus some stable aspect your logical elements (e.g., atom id) into unique 128-bit inputs. You can now obtain the random values you need, wherever and whenever you need them simply by generating a unique 128-bit input and calling the RandomFunction. There is no space overhead. If your parallel algorithm dictates that you need the same random value, e.g., to perform an "update" in two different threads or nodes, you just call the RandomFunction with the appropriate arguments wherever you need it and you get the results you need, where you need them. In parallel applications this is much more natural than trying to divvy up a single stream into multiple substreams by 'discarding' or 'jumping' an inherently sequential state. It is cheaper and easier than associating a stateful generator with each of your logical objects and worrying about the storage and bandwidth to keep them in-sync across the threads/nodes of a parallel computation.

The problem I have with this, basically comes down to encapsulation.

Yes. I'm arguing against encapsulation, and you're right to be skeptical. Encapsulation is usually (but not always) a good thing. I think Thijs put his finger on it. He said:

...

Most of the benefits you see revolve around not owning memory.

Exactly. RandomFunction gives you randomness without the overhead of carrying around, storing and synchronizing encapsulated state. If de-encapsulation just meant that the state had to live in memory somewhere else, then it would be counter-productive. But there are many applications, e.g., Monte Carlo simulations, where the de-encapsulated state doesn't have to "live" anywhere, It can be reconstructed, trivially, on-the-fly, from pre-existing application data, whenever it's needed.

- distributions consume an unspecified number of random values. I have no idea how to make the distributions work with a RandomFunction, besides requiring them to use a 1-to-1 mapping. Even with 64-bit values, this limits the precision of the random variates. - Taking this one step farther, how can I write a generic function which uses an arbitrary RandomFunction to generate a sequence of k random variates? There's no way to know a priori how many unique inputs I would need. Even if k is constant, it still depends on the block size of the RandomFunction.

Yes. Almost nobody wants or needs raw Engine output. Almost everybody wants and needs the values returned by Distributions. RandomFunctions absolutely must "work" with Distributions, and retooling the implementation of Distributions is completely out of the question. So how do I propose making the RandomFunction work with distributions? With an adapter class, let's call it counter_based_generator, that models a bona fide Boost.UniformRandomNumberGenerator (so it can be used as an argument to a Boost.Distribution), and that can be constructed from an instance of a RandomFunction and an instance of the RandomFunction's counter_type. It might be used something like this: template <typename RandomFunction> void thermalize(AtomCollection& atoms, RandomFunction& randfunc){ normal_distribution nd; for( atom& a : atoms ){ RandomFunction::counter_type c = {timestep, a.atomid}; counter_based_generator u(randfunc, c); nd.reset(); a.vx = sqrt(kB * T/a.mass) * nd(urng); a.vy = sqrt(kB * T/a.mass) * nd(urng); a.vz = sqrt(kB * T/a.mass) * nd(urng); } } The counter_based_generator does have internal state (copies of c and randfunc), but it is transient, so in practice the state lives in registers and never touches memory. In contrast to the advice given at http://www.boost.org/doc/libs/1_55_0/doc/html/boost_random/reference.html#bo... counter_based_generators are meant to be created and destroyed frequently.

- A RandomFunction is strictly a PRNG interface. It doesn't work very well for expressing other sources of random values, such as /dev/urandom, specialized devices, and www.random.org.

Agreed. But so what? RandomFunction doesn't have to model /dev/urandom to be useful. The question is whether it's useful in other contexts.

I think that we can get most of the benefits of a RandomFunction without going away from the Engine concept, if we add a couple of extra guarantees for engines intended for parallel use: - seeding a new engine is fast - distinct seeds (within some limits) produce uncorrelated sequences. Both of these properties are trivial for Engines based on RandomFunctions.

I think we're getting closer here. If we simply document a few details about what we expect from a RandomFunction, then we can provide the guarantees you mention (fast seeding and initialization, uncorrelated sequences) with a single, generic adapter class along the lines of the counter_based_generator sketched above. That's basically what I had in mind when I proposed the RandomFunction "Concept". It's purpose is to document the requirements of the counter_based_generator adapter so that it's relatively easy to create new RandomFunctions in the future, with the expectation that they'll interoperate nicely with the rest of Boost.Random. John

In Christ, Steven Watanabe

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On 2014-04-22 10:51, John Salmon wrote:

On Mon, Apr 21, 2014 at 7:51 PM, Steven Watanabe wrote:

...

AMDG

On 04/21/2014 02:28 PM, John Salmon wrote:

...

<snip> I would love to see a boost implementation that captured and exposed this capability for general use. Thus, I think a better approach is as follows:

- define a new "RandomFunction" concept that dscribes/enforces the essential, common features of the randomizing function in Threefry, Philox, ARS and other counter-based random generators.

I don't think this is a particularly useful abstraction. Most users should not care at all about this, since they should be using the predefined engine typedefs. If more similar generators are added later, then the implementation can be adjusted to factor out the common boilerplate, but I really don't see the point of creating a whole new concept for this.

...

I don't think this is a particularly useful abstraction. Most users should not care at all about this, since they should be using the predefined engine typedefs. If more similar generators are added later, then the implementation can be adjusted to factor out the common boilerplate, but I really don't see the point of creating a whole new concept for this.

It may well be true that most users should use a predefined generator because the Engine concept is well matched to the style of random number generator that has been in use for 65 years.

But the question is not whether a RandomFunction abstraction should or would be used by *most* users. The question is whether it's useful to *enough* users.

In case it helps motivate this abstraction, I will mention that I have wanted it in the past. I wanted to generate unpredictable Perlin noise in a game (predictability would in this case allow clients to cheat). For that I wanted exactly a RandomFunction like this which would simply map each integer to an independent random value. This is essentially the same interface Mathias was asking for elsewhere in the thread. What I actually ended up using was a linear congruential generator with O(log(n)) stepping, which didn't satisfactorily achieve any of my design goals. A good random function in Boost.Random would have been perfect. John

On Apr 27, 2014, at 1:39 PM, Mathias Gaunard wrote:

On 22/04/14 01:51, Steven Watanabe wrote:

...

AMDG

On 04/21/2014 02:28 PM, John Salmon wrote:

...

<snip> I would love to see a boost implementation that captured and exposed this capability for general use. Thus, I think a better approach is as follows:

- define a new "RandomFunction" concept that dscribes/enforces the essential, common features of the randomizing function in Threefry, Philox, ARS and other counter-based random generators.

I don't think this is a particularly useful abstraction. Most users should not care at all about this, since they should be using the predefined engine typedefs. If more similar generators are added later, then the implementation can be adjusted to factor out the common boilerplate, but I really don't see the point of creating a whole new concept for this.

People usually want to do something like this

#pragma omp for for(int i=0; i

If the random_value generator is shared, not only do you get poor performance due to synchronization, but you also get non-deterministic results. Yes. That was the problem with the old random generators, but nowadays engines have local state.

If you use a per-thread generator, this is a bit more annoying to set up, manage and reproduce as the results will still depend on which threads get to do what and how each of them are seeded.

With a single, stateless generator, everything is much simpler. One seed, one generator, completely reproducible results regardless of scheduling. The interface i want to have is this:

#pragma omp for for(int i=0; i

You would still need to split the range [0,n) into non-overlapping subsets per thread. You will need some unique id per thread -either a thread id, or some static counter that threads use when they are initialized- to do that. That unique id can also be used to seed regular random engines, so that is to me not a big addition. The main gains I see are: 1) that you can be more efficient with memory 2) that you have better guarantees wrt independent sequences. If you seed a regular engine with 1 and another one with 2 you won't now if the two generated random sequences will have overlap or not. With a counter you can guarantee that, you have control over the things you put into the random function. I'm currently experimenting with "random functions" and a "generic counter engine". It patches together a seed+counter (the seed goes to the high bits, counter to the low bits) and it hands out random numbers from the output the random function fills (which can be 64>bits, eg 256 for threefry, 160 for SHA1). There is also overlap between (the interface or concept of) random functions and std::hash, a generic counter engine should perhaps work with the union of both? We could also use an adapter that wraps a hash interface on a random function which would allow us to construct new hash functions.

On 27/04/14 14:58, Thijs (M.A.) van den Berg wrote:

You would still need to split the range [0,n) into non-overlapping subsets per thread.

That's what the parallelization of the algorithm does. (In the case in the previous mail, it's done automatically by OpenMP)

You will need some unique id per thread -either a thread id, or some static counter that threads use when they are initialized- to do that. That unique id can also be used to seed regular random engines, so that is to me not a big addition.

That would defeat the point IMO. I want to be able to write parallel code involving random number generation where the result does not depend at all of how the code is parallelized. Counter-based random number generators can compute the i-th random number in O(1) instead of the classical O(n). That means that for a given generator with a given seed, I can compute the i-th random number and the j-th random number in parallel. That's what I want to do. I don't want per-thread seeds.

now on github:

https://github.com/DEShawResearch/Random123-Boost

Hi John, I’ve also been working on a design and it will take another week before it’s good enough. It has similarities and differences (which is to be expected since we haven’t aligned). In short: * a random_function concept which is a functor with operator()(input&,output&) or operator()(input&,output&,key&). I’ve considered returning a container but I prefer this. template class sha1_random_function { // type info void operator()(input_type& _i, output_type& _o) { _sha1.reset(); _sha1.process_bytes(_i, input_traits::size ); _sha1.get_digest(_o); }; private: boost::uuids::detail::sha1 _sha1; // I found this inside boost! }; * the input output are random access containers with acompanying traits that allow other components to store and interface with these input output. The traits are element type, number of elements and number of bits used per element. E.g. a uint_least32_t v[5]. Non of these container are stored inside the random function. template <typename RandomFunction> struct random_function_input_traits { typedef ... value_type; // the type of the elements in the input container typedef... type; // the input container type static const std::size_t size = ...; // the number of elements in the input container static const std::size_t bits = ...; // the number of bits used from each element in the input container }; * a generic counter_engine that turns a random_function into a random_engine using a counter. It has a template argument random_function and it stores and manipular a counter of type random_function::input and/or random_function::key and extract random Uint;s from the output buffer. typedef counter_engine< sha1_random_function<64>, // do a sha1 hash on a 64 bytes input buffer (256 bit) boost::uint_least32_t, // return type of the random engine 32, // 32 random bits in the return type elements 32 // 32 bit seed > sha1_counter; * it doesn’t need to end with a counter_engine, other types of random engines adapters that do input manipulators besides a counter can be added. My focus is mainly the counter_engine adaptor (which is finished), the random_function concept and its containers+traits. I have unfortunately limited time right now but I will analyse our designs and come back with ideas and feedback.

On Fri, May 2, 2014 at 11:43 AM, Steven Watanabe wrote:

AMDG

On 04/29/2014 10:00 AM, John Salmon wrote:

...

I've dusted off the code I wrote a couple of years ago and republished

it,

...

now on github:

https://github.com/DEShawResearch/Random123-Boost

For this to be included in Boost.Random, it must be released under the Boost Software License.

I'm confident that this will be possible. I've started the necessary in-housel conversation..

...

counter_based_urng ------------------

The counter_based_urng class uses the pseudo-random property of PRFs to perform random number generation in accordance with the requirements of a UniformRandomNumberGenerator. <snip>

counter_based_engine --------------------

The counter_based_engine class is a templated adapter class that models a bona fide RandomNumberEngine. <snip>

Is there really a good reason to make two separate templates? A RandomNumberEngine is a URNG, by definition.

I had reasons, but they're less convincing than I initially thought. I'm working on a new version that only has counter_based_engine. It should be ready soon. John Salmon _______________________________________________ Unsubscribe & other changes: http://lists.boost.org/mailman/listinfo.cgi/boost

On Tue, May 27, 2014 at 2:48 PM, John Salmon wrote:

On Mon, May 5, 2014 at 9:10 AM, John Salmon wrote:

...

On Fri, May 2, 2014 at 11:43 AM, Steven Watanabe wrote:

...

AMDG

On 04/29/2014 10:00 AM, John Salmon wrote:

...

I've dusted off the code I wrote a couple of years ago and republished

it,

...

now on github:

https://github.com/DEShawResearch/Random123-Boost

For this to be included in Boost.Random, it must be released under the Boost Software License.

Done! The version at the above URL is now under the Boost Software License.

While waiting for permission to change the license, I had some useful conversations with Thijs off-line, resulting in some changes to the implementation. I won't quote the whole README again, but it now starts this way, which I hope is much more to Steven's liking:

<snip README.md> CBENG's are fully generic "Random Number Engines", satisfying all the requirements of C++11 and Boost Engines. They can be used anywhere that other engines can be used. When used with the provided "pseudo random functions", threefry and philox, CBENGs are "crush resistant", i.e., they pass the very demanding suite of 'SmallCrush' 'Crush' and 'BigCrush' tests in the TestU01 package. CBENGs based on threefry and philox are fast (comparable to the mersenne twister) and small (requiring only a few words of state).

CBENGs are excellent random number engines in any context, but two features make them especially well suited to parallel computations:

- a fast (constant time) restart() member function that allows the caller to manage a huge number of distinct streams. - a fast (constant time) discard() member function.

The restart() member is unique to CBENGs, while discard() follows standard semantics (but very few engines permit constant-time implementations).

</snip>

There is only one counter_based_engine, as Steven requested elsewhere in the thread.

Can we agree that counter_based_engine, implemented roughly along these lines is a worthwhile addition to Boost.Random? If so, what's the way forward?

Should I start a 'feature branch', i.e., https://svn.boost.org/trac/boost/wiki/StartModMaint#Startworkonanewfeature to make it easier to ultimately merge into boost?

Cheers,

John Salmon

Any thoughts on this?

John

AMDG On 06/13/2014 09:17 AM, John Salmon wrote:

On Tue, May 27, 2014 at 2:48 PM, John Salmon wrote:

...

Can we agree that counter_based_engine, implemented roughly along these lines is a worthwhile addition to Boost.Random? If so, what's the way forward?

The main thing I need is documentation as doxygen+quickbook.

...

Should I start a 'feature branch', i.e., https://svn.boost.org/trac/boost/wiki/StartModMaint#Startworkonanewfeature to make it easier to ultimately merge into boost?

Sure. The headers aren't a big deal, since it's trivial for me to copy files, but the documentation does need to be integrated into the Boost.Random docs. - threefry primary template: BOOST_STATIC_ASSERT( N==2 || N==4 ) Just don't provide the primary template. - counter_traits.hpp: comments about SeedSeq and birthday paradox. I'm not sure that this is actually true. It's obviously the case that mapping from 4 integers to 3 is going to have this problem, but there is no way around this. If the destination range is larger, then I really hope the outputs would always be distinct for distinct inputs of the same size. I haven't analyzed the algorithm and I have no idea where it comes from, but if it doesn't have this property, then some outputs would be totally unreachable. (Of course, the performance issues of seed_seq still apply.) - Making detail::counter_traits a template parameter of counter_based_engine adds boost::random::detail to the set of associated namespaces. - make_counter and 64-bit: Boost.Random generally requires 32-bit sequences. (This is inherited from std::seed_seq) Handling different widths is a lot of complication for - The iterator seed and constructors of counter_based_engine are overloaded based on the constness of the first argument. Don't do this. It's far to error-prone. - I'm unconvinced of the value of restart. I'm thinking that we can get the same result by allowing multiprecision integers with discard.

...

Second ping, Can anybody hear me?

It's been more than two weeks, with no response to the above, nor to a resend on June 3. I understand that people are busy. But note that I'm asking what *I* should do, not for someone else to do something. In any case, a reply along the lines of "I'm busy and won't be able to get into this until approximately <DATE>, but until then, you could help by doing XXX" would be appreciated.

In Christ, Steven Watanabe

On Fri, Jun 13, 2014 at 1:45 PM, Paul A. Bristow wrote:

...

-----Original Message----- From: Boost [mailto:boost-bounces@lists.boost.org] On Behalf Of Steven Watanabe Sent: 13 June 2014 18:22 To: boost@lists.boost.org Subject: Re: [boost] [random] new threefry random engine

AMDG

On 06/13/2014 09:17 AM, John Salmon wrote:

...

On Tue, May 27, 2014 at 2:48 PM, John Salmon wrote:

...

Can we agree that counter_based_engine, implemented roughly along these lines is a worthwhile addition to Boost.Random? If so, what's the way forward?

...

The main thing I need is documentation as doxygen+quickbook.

Sure. The headers aren't a big deal, since it's trivial for me to copy files, but the documentation does need to be integrated into the Boost.Random docs.

I might be able to help with doxygen+Quickbook - getting the toolchain set up is tiresome.

https://svn.boost.org/trac/boost/wiki/BoostDocs/GettingStarted

If you've got it set up right, then you should be able to rebuild the existing docs in the modular-boost tree.

Or I could start with your plain text notes, perhaps pasted onto to a plain text dump of the existing html, and edit this in Quickbook syntax and you (and others) can view the result.

A GIT branch sounds essential.

But I can't do this for a few weeks :-(

Paul

--- Paul A. Bristow Prizet Farmhouse Kendal UK LA8 8AB +44 01539 561830

Ok. I'll start a git branch and reach out for help with QuickBook when I get that far. Thanks, John

I think you'll like the new example code better. From the new README:

typedef threefry<4, uint32_t> Prf; counter_based_engine cbeng(seed); for(size_t i=0; i

You can seed the counter_based_engine directly with an arithmetic seed, or, if you prefer, you can use the the much larger key_type, or you can pre-initialize a Prf and use that.

I tried to examine what happend when you draw more samples inside the loop, like this for (size_t j=0; j<100; ++j) { atoms[i].vx += mbd(cbeng); atoms[i].vy += mbd(cbeng); atoms[i].vz += mbd(cbeng); } and that caused an abort trap. I expect that the cbeng ran out of samples and that is not the behaviour you want. To be compatible you’ll need to allow the distribution mdb() can draw any amount of samples. Mbd() can be a probability distribution that consumes many random samples from the engine. E.g. I’ve just finished a distribution sampler that consumes 4 per draw. The same issues arises if you have many more variables to set than vx,vy,vz, which make the usage error-prone. One solution for this particular example is that you move the domain_type variable inside the 2nd loop and make it a function of both i,j from the loops. However that still isn’t a nice design because it can be very inefficient. Every time time you call restart() it will generate 4x64 bits of random data on it’s first call, ..but you only consume 3x32 bits. Putting the burden of optimising this on the user is not a good idea. The version I’ve finished here https://github.com/sitmo/threefry is a standard random engine concept and doesn’t need a domain_type, key_type, restart() and doesn’t have a low limit on the number of samples that users need to be aware of. Its intuitive to use like any other random engine -as can be seen in the next example-. I *think* it also uses less memory and is also faster because I’ve optimised the engine for it’s purpose. for(size_t i=0; i

On Tue, May 6, 2014 at 3:51 PM, Thijs van den Berg wrote:

...

...

I think you'll like the new example code better. From the new README:

typedef threefry<4, uint32_t> Prf; counter_based_engine cbeng(seed); for(size_t i=0; i

You can seed the counter_based_engine directly with an arithmetic seed,

or,

...

if you prefer, you can use the the much larger key_type, or you can pre-initialize a Prf and use that.

I tried to examine what happend when you draw more samples inside the loop, like this

for (size_t j=0; j<100; ++j) { atoms[i].vx += mbd(cbeng); atoms[i].vy += mbd(cbeng); atoms[i].vz += mbd(cbeng); }

and that caused an abort trap. I expect that the cbeng ran out of samples and that is not the behaviour you want.

Yes. It ran out because in the counter_based_example.cpp file it's declared with a 5-bit counter:

counter_based_engine cbeng;

This was a very bad choice on my part. The README declares cbeng with a 32-bit counter, and explains that the engine can produce 4*2^32 values before running out. Had I used that in the example.cpp, you would not have had a problem.

I'll push an updated counter_based_example.cpp with CtrBits=32 momentarily. If you change your copy to match the README, i.e., change 5 to 32, then you'll have 32-bit counter and you can generate a few billion normals in your loop before running out. I just ran it with:

Thanks for explaining that. I didn’t realise that, I thought that the random function output (4x64) was being read past the buffer end. 32 bit is indeed more than enough, great to see this!

counter_based_engine cbeng; ... for(size_t j=0; j<1000000000; ++j){ ... }

That’s a good (speed) test. I’ll use that too.

I'm happy to look at optimization. But it should probably wait till we've agreed on an API. My version is also aggressively optimized, e.g., I used mpl::foreach to unroll some loops because gcc wouldn't unroll them without help. If you've found ways to make it even smaller or faster, I'm eager to learn.

Yes I agree we should first look at the interface/concepts like we do now. However, the speed of threefry is one of it’s selling point and it’s natural to look at that too. I ran into the same issue as you with mpl (when not using the foreach) and ended up doing a manual unrolling with chunks of 40 rounds. I wasn’t too happy with that because mpl code is much more elegant and compact. I didn’t know that foreach would have solved it. One of the extra optimisations I realised I could do was to (allow to) limit the key size (my engine stores the key in a private var). The default is 4x64 bits and an additional 64 bit for the xor, but one typically doesn’t need 2^256 independent streams (if you use the key for seeding), e.g. 2^64 is probably more than enough and sometimes no key is ok too (you can then use leapfroggin or discard if you still want independent streams). Reducing the key size reduces the number of instructions in the key round and it reduces memory usage. The key and counter size are very superfluous and that gives room for reduction. There is also another reason I prefer a stripped down version of the key, it will allow you to make the interface a standard random engine one. We can suffice with a 64 bit seed, and that remove the need for having to expose the user to the internal types (key, domain). However, if you need a bigger key then there is always the seedseq interface (the only option) I think the main difference between out versions right now is * “engine construction outside the loop + constructing a domain_type inside the loop + restart()"

typedef threefry<4, uint32_t> Prf; counter_based_engine cbeng(seed); ... Prf::domain_type base = {atoms[i].id, timestep, THERMALIZE_CTXT}; cbeng.restart(base);

* v.s. constructor() inside the loop

threefry4x64_13 eng(i);

To give some details for out discussion.. my engine uses an private counter of size of {1,2,3,4} x 64 bits and I use the seed(i) and constructor interface to set the key. When I set the key via seed or via the constructor I alway reset the counter to zero (because when two engines are seeded equally the sequence should be equal). The constructor and regular seed limits the seed to 64bits, but the (slower) seedseq interface can be used to set the full key if it has more than 64 bits. In your engine things seems to be connected differently? The counter is split into a high and low part, giving you 3 different types of input (including the key). I think that changing your version above to this version below is better because it only uses standard random engines concepts (less terminology and less tweakable options) and is more compact. My view is that new concepts like domain_type, restart() have an associated learning cost and causes vendor lock-in for developers (their code becomes dependent on this specific engine). That’s why I want a standard engine unless there is a *huge* benefit for deviating. Do you think that there is a significant performance penalty here below, or do you simply prefer the interface above? Even when there is a performance hit, shouldn’t we at least have a standard engine without any interface extensions and put the high performance version into a different interface/concept?

for(size_t i=0; i, 32> cbeng(atoms[i].id);

On Wed, May 7, 2014 at 5:36 AM, Thijs van den Berg wrote:

I did some performance test, with 4 threads -O3 and ITERATIONS = 10.000.000, and there is no performance difference between the two versions (see below). My opinion is that we should stick with a standard random engine concept I used, merge our code (we both have non-overlapping bits that are needed), and think a bit more about random function concepts at a later stage. For me a random engine is al I need.

I think my version now provides you with the 'plain old engine' concept that you're looking for. It also *allows* you to do interesting things with restart(), but you can ignore those methods if you wish.. Your version had a nice feature that mine lacked so I adoptied it: the ability to control the output type, independently of the choice of pseudo-random function. With this addition, I can produce 32-bit output from a prf that internally uses 64-bit arithmetic (or vice versa). The template is now: template::value, typename UintType = typename Prf::range_type::value_type, unsigned w = std::numeric_limits<UintType>::digits> A few examples are benchmarked at the end of the random_speed.cpp that I just pushed up to github: // An assortment of counter_based_engines with a variety of // speed/space/output-type tradeoffs: // Threefry4x64, crush-resistant with a safety margin, 64-bit // output. 248-bit seed space. 2^192 restartable sequences, each // of length 2^66. distrib(iter, "threefry4x64", boost::random::counter_based_engine

());

// Threefry4x64/32, crush-resistant with a safety margin, 32-bit // output. 248-bit seed space. 2^192 restartable sequences, each // of length 2^67. distrib(iter, "threefry4x64/32", boost::random::counter_based_engine, 64, uint32_t>()); // Philox 2x32-7 - very small (only 6x32bits of state), // crush-resistant with no safety margin. 26-bit seed space. // Reasonably fast (50-75% of mersenne), with 2^32 restart()-able // sequences each with a length of 2^33. distrib(iter, "philox2x32-7", boost::random::counter_based_engine

());

// Threefry4x64, crush-resistant but with no safety margin. 248-bit // seed space. This should be the fastest. As fast as // mersenne19937, but much smaller (13x64bits), with better or equal // quality. 2^192 restartable sequences each of length 2^67 distrib(iter, "threefry4x64-12/32", boost::random::counter_based_engine, 64, uint32_t>());

On Thu, May 8, 2014 at 12:27 PM, Thijs van den Berg wrote:

...

I think my version now provides you with the 'plain old engine' concept that you're looking for. It also *allows* you to do interesting things with restart(), but you can ignore those methods if you wish..

For me that’s a good compromise, but it’s up to Steven and (perhaps some others?) to decide what he wants with the interface. In an earlier version I gave public access to counter manipulators and those were questioned because it was non-standard interface, and so I made them private.

Yes, I'd like to hear what others think of the new 'bona-fide-engine-with-restart-extension' design.

...

ability to control the output type, independently of the choice of pseudo-random function. With this addition, I can produce 32-bit output from a prf that internally uses 64-bit arithmetic (or vice versa). The template is now: Thanks. I wanted to provide both 32 and 64 bit random numbers because 32 bit is still used a lot. My first implementation used a fast reinterpret_cast<> but that was non endian invariant, and so I had to fix

Your version had a nice feature that mine lacked so I adoptied it: the that. I think the interface and consistent behaviour is more important than speed for boost random, and I agree with that.

My implementation is intended to be endian-independent. But as they say - "if it hasn't been tested, it's doesn't work", and I haven't had a chance to test on a big-endian machine, so proceed with caution..

I think the most enjoyable way forward would be join effort into a single submission instead of competing ones? For that you will need to fix the copyright and license. What’s your view on this? Are you doing this in corporate time or personal time?

Yes, I think it make sense to merge. Perhaps we should start using the recommended workflow, https://svn.boost.org/trac/boost/wiki/StartModMaint. Especially if that would make things easier for Steven. As you can see, my code is released under a fairly permissive license that is very close to the BSD 3-clause license. But it's not the Boost Software License, and I understand why that's a problem. I'm working on getting permission to release it under the Boost Software License. John

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AMDG On 04/27/2014 05:39 AM, Mathias Gaunard wrote:

With a single, stateless generator, everything is much simpler. One seed, one generator, completely reproducible results regardless of scheduling. The interface i want to have is this:

#pragma omp for for(int i=0; i

The proposed RandomFunction doesn't quite work this way. It produces random numbers in blocks. (For instance, the threefry engine that started this thread, uses a 256-bit block size.) In Christ, Steven Watanabe

On 02 May 2014, at 13:39, John Salmon wrote:

On Fri, May 2, 2014 at 1:26 AM, Steven Watanabe wrote:

...

AMDG

On 04/27/2014 05:39 AM, Mathias Gaunard wrote:

...

With a single, stateless generator, everything is much simpler. One seed, one generator, completely reproducible results regardless of scheduling. The interface i want to have is this:

#pragma omp for for(int i=0; i

The proposed RandomFunction doesn't quite work this way. It produces random numbers in blocks. (For instance, the threefry engine that started this thread, uses a 256-bit block size.)

Yes. But with C++11 initializer lists, random_value is a one-liner:

unsigned random_value(unsigned i){ return Threefry<2, unsigned>()({i})[0]; }

Without initializer lists, you would need another line for a declaration of a domain_type.

Alternatively, you may prefer to let a distribution do the rescaling for you:

Threefry<2,unsigned> prf; uniform_real_distribution<float> zero_one(0., 1.); #omp for(int i=0; i

John Salmon

The zero_one distribution can do any amount of call to the urng. E.g. the current normal_distribribution uses ziggurat with rejection sampling. The previous version uses Box Muller and consumed an even amount of random numbers. The only way I can see "counter_based_urng(prf, {i})” to be able to generate an arbitrary number of random values is when it has it’s own internal counter. In that case it’s best to use a random engine adaptor. counter_based_engine< Threefry<2,unsigned> > eng; uniform_real_distribution<float> zero_one(0., 1.); eng.seed(thread_id); for(int i=0; i

On 02 May 2014, at 14:32, Peter Dimov wrote:

Thijs van den Berg wrote:

...

In that case it’s best to use a random engine adaptor.

counter_based_engine< Threefry<2,unsigned> > eng; uniform_real_distribution<float> zero_one(0., 1.);

eng.seed(thread_id);

for(int i=0; i

The adaptor needs to be in the loop; you don't have a thread_id outside it. ok, .. so the block inside the loop gets automatically distributed across threads.

uniform_real_distribution<float> zero_one(0., 1.);

#pragma omp parallel for for( int i=0; i > eng; eng.seed( i );

out[i] = in[i]*zero_one( eng ); }

In principle, this works with any engine, not just a counter-based one, as long as creating and seeding is quick and consecutive seeds result in random first output.

The way I read this ”first random output” is that you are saying that it will only use 1 random number from the block generated by the random function (for threefry e.g. 4x 64bits)? This is probably an artefact of the example you chose? Normally each thread would do millions of samples? I thought the idea was to *not* have the engine store a counter but use the “i” from the loop. I now understand that the loop is the parallel part. The counter_based_engine design I’m working on (I’ll share an example soon) works with 3 type of random function: * random function that convert an input buffer to an output buffer. For these I use the input as an counter, and let the seed() set the highest bits of the counter. The engine uses the following random function interfaces void random_function(input&,output&) * random function that also use an additional key. For this version I have the seed() random engine set a key buffer, and that key gets passed to the random function random_function(input&,output&,key&) * random function that have a state dependent of the key, and computing the state takes some time. These random functions have an additional member function that the counter_engine uses when it gets seeded random_function.set_key(key&)// called by random engine seed() ... random_function(input&,output&) // sometimes called by random engine operator(), whenever it needs a new batch of random data

AMDG

On 05/02/2014 06:49 AM, Thijs van den Berg wrote:

...

The counter_based_engine design I’m working on (I’ll share an example soon) works with 3 type of random function:

This is much too complicated. There should be exactly one kind of RandomFunction. Either pass the key always, and make it empty when it isn't needed, or store the key in the random function and never pass it.

In Christ, Steven Watanabe

From a performance point of view the only option will probably be to never pass instead of always. If we give a random function the same seed interface like a random engine for setting the key then a random function will look a lot like a random engine. If will fill an external output buffer based on scrambling an external input buffer. The counter engine adaptor / wrapper will * own the input and output container * manipulate the input container as a counter * forwards the seeding directly to the random function * use the output container as a source for generating samples Would this work for the function in random 123?

On Fri, May 2, 2014 at 8:32 AM, Peter Dimov wrote:

Thijs van den Berg wrote:

...

In that case it’s best to use a random engine adaptor.

counter_based_engine< Threefry<2,unsigned> > eng; uniform_real_distribution<float> zero_one(0., 1.);

eng.seed(thread_id);

for(int i=0; i

The adaptor needs to be in the loop; you don't have a thread_id outside it.

uniform_real_distribution<float> zero_one(0., 1.);

#pragma omp parallel for for( int i=0; i > eng; eng.seed( i );

out[i] = in[i]*zero_one( eng ); }

In principle, this works with any engine, not just a counter-based one, as long as creating and seeding is quick and consecutive seeds result in random first output.

Yes. But Boost's documentation advises that in general, these requirements are *not* met: http://www.boost.org/doc/libs/1_55_0/doc/html/boost_random/reference.html#bo...

Pseudo-random number generators should not be constructed (initialized) frequently during program execution, for two reasons. First, initialization requires full initialization of the internal state of the generator. Thus, generators with a lot of internal state (see below) are costly to initialize. Second, initialization always requires some value used as a "seed" for the generated sequence. It is usually difficult to obtain several good seed values... </snip> This is very good advice because as far as I know, none of the existing engines satisfy all the requirements: small state, quick-to-initialize, quick-to-run and high-quality, statistically independent results when seeded consecutively. Counter-based RNGs are specifically designed to meet these requirements. State ranges from 8 to 32 bytes. They generate 8 to 32 random bytes at a time at rates of 2-4 cycles-per-byte. Initialization time is negligible compared to generation. Output passes TestU01. John Salmon

AMDG On 05/02/2014 05:39 AM, John Salmon wrote:

Yes. But with C++11 initializer lists, random_value is a one-liner:

unsigned random_value(unsigned i){ return Threefry<2, unsigned>()({i})[0]; }

Sure, that works, as long as you don't mind throwing away the rest of the outputs. In Christ, Steven Watanabe