R package providing access and examples to TRNG C++ library
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README.md

rTRNG: R package providing access and examples to TRNG C++ library

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TRNG (Tina's Random Number Generator) is a state-of-the-art C++ pseudo-random number generator library for sequential and parallel Monte Carlo simulations. It provides a variety of random number engines (pseudo-random number generators) and distributions. In particular, parallel random number engines provided by TRNG can be manipulated by jump and split operations. These allow to jump ahead by an arbitrary number of steps and to split a sequence into any desired sub-sequence(s), thus enabling techniques such as block-splitting and leapfrogging suitable to parallel algorithms.

Package rTRNG provides the R users with access to the functionality of the underlying TRNG C++ library, both in R and as part of other projects combining R with C++.

An introduction to rTRNG [pdf] was presented at the useR!2017 conference, and is also available as package vignette:

vignette("rTRNG.useR2017", "rTRNG")

The sub-matrix simulation vignette shows rTRNG in action for the flexible and consistent (parallel) simulation of a matrix of Monte Carlo variates:

vignette("mcMat", "rTRNG")

A full applied example of using rTRNG for the simulation of credit defaults was presented at the R/Finance 2017 conference. The underlying code and data are hosted on GitHub, as well as the corresponding R Markdown output.

For more information and references, you can consult the package documentation page via help("rTRNG-package").

Installation

The package can be installed from our github repository with:

# install.packages("devtools")
devtools::install_github("miraisolutions/rTRNG")
# in order to also build the vignettes, you'll have to run below instead
devtools::install_github("miraisolutions/rTRNG", build_vignettes = TRUE)

Build note

If you try to build the package yourself from source and run Rcpp::compileAttributes() during the process, you need to use a version of Rcpp >= 0.12.11.2. Earlier versions like 0.12.11 will not generate the desired _rcpp_module_boot_trng symbol in RcppExports.cpp.

Examples

Use TRNG engines from R

Similar to base-R (?Random), rTRNG allows to select and manipulate a current TRNG engine of a given kind (e.g. yarn2), and to draw from it using any of the provided r<dist>_trng functions:

library(rTRNG)
TRNGkind("yarn2") 
TRNGseed(12358)
runif_trng(15)
#>  [1] 0.580259813 0.339434026 0.221393682 0.369402388 0.542678773
#>  [6] 0.002851459 0.123996486 0.346813776 0.121799416 0.947124450
#> [11] 0.336516569 0.128926181 0.380379891 0.550692382 0.436002654

The special jump and split operations can be applied to the current engine in a similar way:

TRNGseed(12358)
TRNGjump(6) # advance by 6 the internal state
TRNGsplit(5, 3) # subsequence: one element every 5 starting from the 3rd
runif_trng(2)
#> [1] 0.1217994 0.5506924
#   => compare to the full sequence above

TRNG engines can also be created and manipulated directly as Reference Class objects, and passed as engine argument to r<dist>_trng:

rng <- yarn2$new()
rng$seed(12358)
rng$jump(6)
rng$split(5, 3)
runif_trng(2, engine = rng)
#> [1] 0.1217994 0.5506924

In addition, parallel generation of random variates can be enabled in r<dist>_trng via RcppParallel using argument parallelGrain > 0:

TRNGseed(12358)
RcppParallel::setThreadOptions(numThreads = 2)
x_parallel <- rnorm_trng(1e5L, parallelGrain = 100L)
TRNGseed(12358)
x_serial <- rnorm_trng(1e5L)
identical(x_serial, x_parallel)
#> [1] TRUE

Use TRNG from standalone C++

The TRNG C++ library is made available by rTRNG to standalone C++ code compiled with Rcpp::sourceCpp thanks to the Rcpp::depends attribute:

// [[Rcpp::depends(rTRNG)]]
#include <Rcpp.h>
#include <trng/yarn2.hpp>
#include <trng/uniform_dist.hpp>
// [[Rcpp::export]]
Rcpp::NumericVector exampleCpp() {
  trng::yarn2 rng(12358);
  rng.jump(6);
  rng.split(5, 2); // 0-based index
  Rcpp::NumericVector x(2);
  trng::uniform_dist<>unif(0, 1);
  for (unsigned int i = 0; i < 2; i++) {
    x[i] = unif(rng);
  }
  return x;
}
exampleCpp()
#> [1] 0.1217994 0.5506924

Use TRNG from other R packages

Creating an R package with C++ code using the TRNG library and headers through rTRNG is achieved by

  • adding Imports: rTRNG and LinkingTo: rTRNG to the DESCRIPTION file
  • importing one symbol in the NAMESPACE: importFrom(rTRNG, TRNG.Version)
  • setting the relevant linker flags in Makevars[.win] via rTRNG::LdFlags()
    • Makevars: PKG_LIBS += $(shell ${R_HOME}/bin/Rscript -e "rTRNG::LdFlags()")
    • Makevars.win: PKG_LIBS += $(shell "${R_HOME}/bin${R_ARCH_BIN}/Rscript.exe" -e "rTRNG::LdFlags()")