jeudi 2 novembre 2017

R: Extreme bunching of random values from runif with Mersenne-Twister seed

We are facing a weird situation in our code when using R's runif and setting seed with set.seed with the kind = NULL option (which resolves, unless I am mistaken, to kind = default; the default being Mersenne-Twister).

We set the seed using (8 digit) unique IDs generated by an upstream system, before calling runif:

seeds = c(
  "86548915", "86551615", "86566163", "86577411", "86584144", 
  "86584272", "86620568", "86724613", "86756002", "86768593", "86772411", 
  "86781516", "86794389", "86805854", "86814600", "86835092", "86874179", 
  "86876466", "86901193", "86987847", "86988080")

random_values = sapply(seeds, function(x) {
  set.seed(x)
  y = runif(1, 17, 26)
  return(y)
})

This gives values that are extremely bunched together.

> summary(random_values)
   Min. 1st Qu.  Median    Mean 3rd Qu.    Max. 
  25.13   25.36   25.66   25.58   25.83   25.94 

This behaviour of runif goes away when we use kind = "Knuth-TAOCP-2002", and we get values that appear to be much more evenly spread out.

random_values = sapply(seeds, function(x) {
  set.seed(x, kind = "Knuth-TAOCP-2002")
  y = runif(1, 17, 26)
  return(y)
})

Output omitted.


The most interesting thing here is that this does not happen on Windows -- only happens on Ubuntu (sessionInfo output below).

Can someone help understand what is going on?

R version 3.4.0 (2017-04-21)
Platform: x86_64-pc-linux-gnu (64-bit)
Running under: Ubuntu 16.04.2 LTS

Matrix products: default
BLAS: /usr/lib/libblas/libblas.so.3.6.0
LAPACK: /usr/lib/lapack/liblapack.so.3.6.0

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=en_US.UTF-8          
 [9] LC_ADDRESS=en_US.UTF-8        LC_TELEPHONE=en_US.UTF-8     
[11] LC_MEASUREMENT=en_US.UTF-8    LC_IDENTIFICATION=en_US.UTF-8

attached base packages:
[1] parallel  stats     graphics  grDevices utils     datasets  methods   base     

other attached packages:
[1] RMySQL_0.10.8               DBI_0.6-1                  
 [3] jsonlite_1.4                tidyjson_0.2.2             
 [5] optiRum_0.37.3              lubridate_1.6.0            
 [7] httr_1.2.1                  gdata_2.18.0               
 [9] XLConnect_0.2-12            XLConnectJars_0.2-12       
[11] data.table_1.10.4           stringr_1.2.0              
[13] readxl_1.0.0                xlsx_0.5.7                 
[15] xlsxjars_0.6.1              rJava_0.9-8                
[17] sqldf_0.4-10                RSQLite_1.1-2              
[19] gsubfn_0.6-6                proto_1.0.0                
[21] dplyr_0.5.0                 purrr_0.2.4                
[23] readr_1.1.1                 tidyr_0.6.3                
[25] tibble_1.3.0                tidyverse_1.1.1            
[27] rBayesianOptimization_1.1.0 xgboost_0.6-4              
[29] MLmetrics_1.1.1             caret_6.0-76               
[31] ROCR_1.0-7                  gplots_3.0.1               
[33] effects_3.1-2               pROC_1.10.0                
[35] pscl_1.4.9                  lattice_0.20-35            
[37] MASS_7.3-47                 ggplot2_2.2.1              

loaded via a namespace (and not attached):
[1] splines_3.4.0      foreach_1.4.3      AUC_0.3.0          modelr_0.1.0      
 [5] gtools_3.5.0       assertthat_0.2.0   stats4_3.4.0       cellranger_1.1.0  
 [9] quantreg_5.33      chron_2.3-50       digest_0.6.10      rvest_0.3.2       
[13] minqa_1.2.4        colorspace_1.3-2   Matrix_1.2-10      plyr_1.8.4        
[17] psych_1.7.3.21     XML_3.98-1.7       broom_0.4.2        SparseM_1.77      
[21] haven_1.0.0        scales_0.4.1       lme4_1.1-13        MatrixModels_0.4-1
[25] mgcv_1.8-17        car_2.1-5          nnet_7.3-12        lazyeval_0.2.0    
[29] pbkrtest_0.4-7     mnormt_1.5-5       magrittr_1.5       memoise_1.0.0     
[33] nlme_3.1-131       forcats_0.2.0      xml2_1.1.1         foreign_0.8-69    
[37] tools_3.4.0        hms_0.3            munsell_0.4.3      compiler_3.4.0    
[41] caTools_1.17.1     rlang_0.1.1        grid_3.4.0         nloptr_1.0.4      
[45] iterators_1.0.8    bitops_1.0-6       tcltk_3.4.0        gtable_0.2.0      
[49] ModelMetrics_1.1.0 codetools_0.2-15   reshape2_1.4.2     R6_2.2.0          
[53] knitr_1.15.1       KernSmooth_2.23-15 stringi_1.1.5      Rcpp_0.12.11  




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