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Basic support for Random Number Generators for Julia for simulations that execute in parallel. Right now, the repository has a single function, replicate, that uses a task to generate a stream of random numbers on the main process that are used in calculations in a other processes.

For discussion, see this thread on the Julia-Users mailing list:

This package has almost nothing in it so far, and very little documentation (i.e., this is it!) Use it at your own risk. When you find errors, please file an issue on GitHub:

This package is only supported on Julia version 0.3.0 or higher. Note that Julia has a bug prior to commit 9c02c9d that may cause replicate to miss the last few elements --- see issue #7727 in JuliaLang/julia: JuliaLang/julia#7727. As of this writing, there is a release candidate of v0.3.0 and a supported release should be available soon.

Example usage

To generate 400 draws from the distribution of the maximum of 500 independent Gaussian random variables:

replicate(400) do

The replicate code will give essentially identical results to the loop

A = Array(Float64, 400)
for i = 1:400
    A[i] = maximum(randn(500))

but will execute on other processes if they are available. It gives "essentially identical" results because replicate will generally order the results differently than the for loop, but each approach will take the maximum of the exact same 500 random normals for each element.

For more complicated statistics, we can provide a deterministic processing step. The same code as above can be written as

replicate(maximum, ()->randn(500), 400)

The difference between this version and the first version is that here the maximum function is executed on different processes while it is executed on the main process in the first call.


This part was originally a blog post called Cobbling together parallel random number generation in Julia

I’m starting to work on some computationally demanding projects, (Monte Carlo simulations of bootstraps of out-of-sample forecast comparisons) so I thought I should look at Julia some more. Unfortunately, since Julia’s so young (it’s almost at version 0.3.0 as I write this) a lot of code still needs to be written. Like Random Number Generators (RNGs) that work in parallel. So this post describes an approach that parallelizes computation using a standard RNG; for convenience I’ve put the code (a single function) is in a grotesquely ambitiously named package on GitHub: ParallelRNGs.jl. (Also see this thread on the Julia Users mailing list.)

A few quick points about RNGs and simulations. Most econometrics papers have a section that examines the performance of a few estimators in a known environment (usually the estimators proposed by the paper and a few of the best preexisting estimators). We do this by simulating data on a computer, using that data to produce estimates, and then comparing those estimate to the parameters they’re estimating. Since we’ve generated the data ourselves, we actually know the true values of those parameters, so we can make a real comparison. Do that for 5000 simulated data sets and you can get a reasonably accurate view of how the statistics might perform in real life.

For many reasons, it’s useful to be able to reproduce the exact same simulations again in the future. (Two obvious reasons: it allows other researchers to be able to reproduce your results, and it can make debugging much faster when you discover errors.) So we almost always use pseudo Random Number Generators that use a deterministic algorithm to produce a stream of numbers that behaves in important ways like a stream of independent random values. You initialize these RNGs by setting a starting value (the “pseudo” aspect of the RNGs is implicit from now on) and anyone who has that starting value can reproduce the identical sequence of numbers that you generated. A popular RNG is the “Mersenne Twister,” and “popular” is probably an understatement: it’s the default RNG in R, Matlab, and Julia. And (from what I’ve read; this isn’t my field at all) it’s well regarded for producing a sequence of random numbers for statistical simulations.

But it’s not necessarily appropriate for producing several independent sequences of random numbers. Which is vitally important because I have an 8 core workstation that needs to run lots of simulations, and I’d like to execute 1/8th of the total simulations on each of its cores.

There’s a common misconception that you can get independent random sequences just by choosing different initial values for each sequence, but that’s not guaranteed to be true. There are algorithms for choosing different starting values that are guaranteed to produce independent streams for the Mersenne Twister (see this research by one of the MT’s inventors), but they aren’t implemented in Julia yet. (Or in R, as far as I can tell; they use a different RNG for parallel applications.) And it turns out that Mersenne Twister is the only RNG that’s included in Julia so far.

So, this would be a perfect opportunity for me to step up and implement some of these advanced algorithms for the Mersenne Twister. Or to implement some of the algorithms developed by L’Ecuyer and his coauthors, which are what R uses. And there’s already C code for both options.

But I haven’t done that yet. :(

Instead, I’ve written an extremely small function that wraps Julia’s default RNG, calls it from the main process alone to generate random numbers, and then sends those random numbers to each of the other processes/cores where the rest of the simulation code runs. The function’s really simple:

function replicate(sim::Function, dgp::Function, n::Integer)
    function rvproducer()
        for i=1:n
    return(pmap(sim, Task(rvproducer)))

That’s all. If you’re not used to Julia, you can ignore the ::Function and the ::Integer parts of the arguments. Those just identify the datatype of the argument and you can read it as dgp_function if you want (and explicitly providing the types like this is optional anyway). So, you give replicate two functions: dgp generates the random numbers and sim does the remaining calculations; n is the number of simulations to do. All of the work is done in [pmap][5] which parcels out the random numbers and sends them to different processors. (There’s a simplified version of the source code for pmap at that link.)

And that’s it. Each time a processor finishes one iteration, pmap calls dgp() again to generate more random numbers and passes them along. It automatically waits for dgp() to finish, so there are no race conditions and it produces the exact same sequence of random numbers every time. The code is shockingly concise. (It shocked me! I wrote it up assuming it would fail so I could understand pmap better and I was pretty surprised when it worked.)

A quick example might help clear up it’s usage. We’ll write a DGP for the bootstrap:

const n = 200     # Number of observations for each simulation
const nboot = 299 # Number of bootstrap replications
addprocs(7)       # Start the other 7 cores
dgp() = (randn(n), rand(1:n, (n, nboot)))

The data are iid Normal, (the “randn(n)” component) and it’s an iid nonparametric bootstrap (the “rand(1:n, (n, nboot))”, which draws independent values from 1 to n and fills them into an n by nboot matrix).

We’ll use a proxy for some complicated processing step:

@everywhere function sim(x)
    nboot = size(x[2], 2)
    bootvals = Array(Float64, nboot)
    for i=1:nboot
        bootvals[i] = mean(x[1][x[2][:,i]])
    confint = quantile(bootvals, [0.05, 0.95])
    sleep(3) # not usually recommended!
    return(confint[1] < 0 < confint[2])

So sim calculates the mean of each bootstrap sample and calculates the 5th and 95th percentile of those simulated means, giving a two-sided 90% confidence interval for the true mean. Then it checks whether the interval contains the true mean (0). And it also wastes 3 seconds sleeping, which is a proxy for more complicated calculations but usually shouldn’t be in your code. The initial @everywhere is a Julia macro that loads this function into each of the separate processes so that it’s available for parallelization. (This is probably as good a place as any to link to Julia’s “Parallel Computing” documentation.)

Running a short Monte Carlo is simple:

julia> srand(84537423); # Initialize the default RNG!!!
julia> @time mc1 = mean(replicate(sim, dgp, 500))
elapsed time: 217.705639 seconds (508892580 bytes allocated, 0.13% gc time)
0.896 # = 448/500

So, about 3.6 minutes and the confidence intervals have coverage almost exactly 90%.

It’s also useful to compare the execution time to a purely sequential approach. We can do that by using a simple for loop:

function dosequential(nsims)
    boots = Array(Float64, nsims)
    for i=1:nsims
        boots[i] = sim(dgp())
    return boots

And, to time it:

julia> dosequential(1); # Force compilation before timing
julia> srand(84537423); # Reinitialize the default RNG!!!
julia> @time mc2 = mean(dosequential(500))
elapsed time: 1502.038961 seconds (877739616 bytes allocated, 0.03% gc time)
0.896 # = 448/500

This takes a lot longer: over 25 minutes, 7 times longer than the parallel approach (exactly what we’d hope for, since the parallel approach runs the simulations on 7 cores). And it gives exactly the same results since we started the RNG at the same initial value.

So this approach to parallelization is great… sometimes.

This approach should work pretty well when there aren’t that many random numbers being passed to each processor, and when there aren’t that many simulations being run; i.e. when sim is an inherently complex calculation. Otherwise, the overhead of passing the random numbers to each process can start to matter a lot. In extreme cases, dosequential can be faster than replicate because the overhead of managing the simulations and passing around random variables dominates the other calculations. In those applications, a real parallel RNG becomes a lot more important.

If you want to play with this code yourself, I made a small package for the replicate function: ParallelRNGs.jl on GitHub (this one). The name is misleadingly ambitious (ambitiously misleading?), but if I do add real parallel RNGs to Julia, I’ll put them there too. The code is still buggy, so use it at your own risk and let me know if you run into problems. (Filing an issue on GitHub is the best way to report bugs.)

P.S. I should mention again that Julia is an absolute joy of a language. Package development isn’t quite as nice as in Clojure, where it’s straightforward to load and unload variables from the package namespace (again, there’s lots of code that still needs to be written). But the actual language is just spectacular and I’d probably want to use it for simulations even if it were slow. Seriously: seven lines of new code to get an acceptable parallel RNG.

License and copyright

Copyright (c) 2014: Gray Calhoun This package is licensed under the MIT "Expat" License; see the file for details.


Random Number Generators for Julia, designed for a parallel computing environment







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