Merge pull request #29 from bashtage/defaults-pxi

Defaults pxi

Author: bashtage

doc/source/dsfmt.rst

@@ -15,6 +15,12 @@ Random generator
    get_state
    set_state
 
+Parallel generation
+===================
+.. autosummary::
+   :toctree: generated/
+
+   jump
 
 Simple random data
 ==================

randomstate/config.pxi

@@ -1,3 +1,3 @@
 # Autogenerated
 
-DEF RNG_MOD_NAME='xorshift128'
+DEF RS_RNG_MOD_NAME='xorshift128'

randomstate/distributions.h

@@ -22,21 +22,21 @@ typedef int bool;
 #define M_PI 3.14159265358979323846264338328
 #endif
 
-#if  defined(PCG_32_RNG)
+#if  defined(RS_PCG32)
 #include "shims/pcg-32/pcg-32-shim.h"
-#elif defined(PCG_64_RNG)
+#elif defined(RS_PCG64)
 #include "shims/pcg-64/pcg-64-shim.h"
-#elif defined(RANDOMKIT_RNG)
+#elif defined(RS_RANDOMKIT)
 #include "shims/random-kit/random-kit-shim.h"
-#elif defined(XORSHIFT128_RNG)
+#elif defined(RS_XORSHIFT128)
 #include "shims/xorshift128/xorshift128-shim.h"
-#elif defined(XORSHIFT1024_RNG)
+#elif defined(RS_XORSHIFT1024)
 #include "shims/xorshift1024/xorshift1024-shim.h"
-#elif defined(MRG32K3A_RNG)
+#elif defined(RS_MRG32K3A)
 #include "shims/mrg32k3a/mrg32k3a-shim.h"
-#elif defined(MLFG_1279_861_RNG)
+#elif defined(RS_MLFG_1279_861)
 #include "shims/mlfg-1279-861/mlfg-1279-861-shim.h"
-#elif defined(DSFMT_RNG)
+#elif defined(RS_DSFMT)
 #include "shims/dSFMT/dSFMT-shim.h"
 #else
 #error Unknown RNG!!!  Unknown RNG!!!  Unknown RNG!!!

randomstate/interface.pyx

@@ -23,28 +23,29 @@ from cython_overrides cimport PyFloat_AsDouble, PyInt_AsLong, PyErr_Occurred, Py
 np.import_array()
 
 include "config.pxi"
+include "defaults.pxi"
 
-IF RNG_MOD_NAME == 'pcg32':
+IF RS_RNG_MOD_NAME == 'pcg32':
     include "shims/pcg-32/pcg-32.pxi"
-IF RNG_MOD_NAME == 'pcg64':
-    IF PCG128_EMULATED:
+IF RS_RNG_MOD_NAME == 'pcg64':
+    IF RS_PCG128_EMULATED:
         include "shims/pcg-64/pcg-64-emulated.pxi"
     ELSE:
         include "shims/pcg-64/pcg-64.pxi"
-IF RNG_MOD_NAME == 'mt19937':
+IF RS_RNG_MOD_NAME == 'mt19937':
     include "shims/random-kit/random-kit.pxi"
-IF RNG_MOD_NAME == 'xorshift128':
+IF RS_RNG_MOD_NAME == 'xorshift128':
     include "shims/xorshift128/xorshift128.pxi"
-IF RNG_MOD_NAME == 'xorshift1024':
+IF RS_RNG_MOD_NAME == 'xorshift1024':
     include "shims/xorshift1024/xorshift1024.pxi"
-IF RNG_MOD_NAME == 'mrg32k3a':
+IF RS_RNG_MOD_NAME == 'mrg32k3a':
     include "shims/mrg32k3a/mrg32k3a.pxi"
-IF RNG_MOD_NAME == 'mlfg_1279_861':
+IF RS_RNG_MOD_NAME == 'mlfg_1279_861':
     include "shims/mlfg-1279-861/mlfg-1279-861.pxi"
-IF RNG_MOD_NAME == 'dsfmt':
+IF RS_RNG_MOD_NAME == 'dsfmt':
     include "shims/dSFMT/dSFMT.pxi"
 
-IF NORMAL_METHOD == 'inv':
+IF RS_NORMAL_METHOD == 'inv':
     __normal_method = 'inv'
 ELSE:
     __normal_method = 'zig'
@@ -139,11 +140,11 @@ cdef class RandomState:
     poisson_lam_max = POISSON_LAM_MAX
     __MAXSIZE = <uint64_t>sys.maxsize
 
-    IF RNG_SEED==1:
+    IF RS_RNG_SEED==1:
         def __init__(self, seed=None):
             self.rng_state.rng = <rng_t *>PyArray_malloc_aligned(sizeof(rng_t))
             self.rng_state.binomial = &self.binomial_info
-            IF RNG_MOD_NAME == 'dsfmt':
+            IF RS_RNG_MOD_NAME == 'dsfmt':
                 self.rng_state.buffered_uniforms = <double *>PyArray_malloc_aligned(2 * DSFMT_N * sizeof(double))
             self.lock = Lock()
             self._reset_state_variables()
@@ -158,7 +159,7 @@ cdef class RandomState:
 
     def __dealloc__(self):
         PyArray_free_aligned(self.rng_state.rng)
-        IF RNG_MOD_NAME == 'dsfmt':
+        IF RS_RNG_MOD_NAME == 'dsfmt':
             PyArray_free_aligned(self.rng_state.buffered_uniforms)
 
     # Pickling support:
@@ -169,9 +170,9 @@ cdef class RandomState:
         self.set_state(state)
 
     def __reduce__(self):
-        return (randomstate.prng.__generic_ctor, (RNG_MOD_NAME,), self.get_state())
+        return (randomstate.prng.__generic_ctor, (RS_RNG_MOD_NAME,), self.get_state())
 
-    IF RNG_NAME == 'mt19937':
+    IF RS_RNG_NAME == 'mt19937':
         def seed(self, seed=None):
             """
             seed(seed=None)
@@ -212,7 +213,7 @@ cdef class RandomState:
                     set_seed_by_array(&self.rng_state, <unsigned long *>np.PyArray_DATA(obj), np.PyArray_DIM(obj, 0))
             self._reset_state_variables()
 
-    ELIF RNG_SEED==1:
+    ELIF RS_RNG_SEED==1:
         def seed(self, val=None):
             """
             seed(seed=None)
@@ -272,8 +273,8 @@ cdef class RandomState:
                     raise ValueError('val < 0')
                 if inc < 0:
                     raise ValueError('inc < 0')
-                IF RNG_NAME == 'pcg64':
-                    IF PCG128_EMULATED:
+                IF RS_RNG_NAME == 'pcg64':
+                    IF RS_PCG128_EMULATED:
                         set_seed(&self.rng_state,
                                  pcg128_from_pylong(val),
                                  pcg128_from_pylong(inc))
@@ -292,7 +293,7 @@ cdef class RandomState:
         self.rng_state.uinteger = 0
         self.rng_state.binomial.has_binomial = 0
 
-    IF RNG_ADVANCEABLE:
+    IF RS_RNG_ADVANCEABLE:
         def advance(self, delta):
             """
             advance(delta)
@@ -314,8 +315,8 @@ cdef class RandomState:
             Advancing the prng state resets any pre-computed random numbers.
             This is required to ensure exact reproducibility.
             """
-            IF RNG_NAME == 'pcg64':
-                IF PCG128_EMULATED:
+            IF RS_RNG_NAME == 'pcg64':
+                IF RS_PCG128_EMULATED:
                     advance_state(&self.rng_state, pcg128_from_pylong(delta))
                 ELSE:
                     advance_state(&self.rng_state, delta)
@@ -326,7 +327,7 @@ cdef class RandomState:
             self.rng_state.gauss = 0.0
             return None
 
-    IF RNG_JUMPABLE:
+    IF RS_RNG_JUMPABLE:
         def jump(self, uint32_t iter = 1):
             """
             jump(iter = 1)
@@ -356,7 +357,7 @@ cdef class RandomState:
             self.rng_state.gauss = 0.0
             return None
 
-    IF RNG_NAME == 'mt19937':
+    IF RS_RNG_NAME == 'mt19937':
         def get_state(self, legacy=False):
             """
             get_state()
@@ -394,11 +395,11 @@ cdef class RandomState:
             component, see the class documentation.
             """
             if legacy:
-                return (RNG_NAME,) \
+                return (RS_RNG_NAME,) \
                        + _get_state(self.rng_state) \
                        + (self.rng_state.has_gauss, self.rng_state.gauss)
 
-            return  {'name': RNG_NAME,
+            return  {'name': RS_RNG_NAME,
                      'state': _get_state(self.rng_state),
                      'gauss': {'has_gauss': self.rng_state.has_gauss, 'gauss': self.rng_state.gauss},
                      'uint32': {'has_uint32': self.rng_state.has_uint32, 'uint32': self.rng_state.uinteger}
@@ -435,7 +436,7 @@ cdef class RandomState:
             For information about the specific structure of the PRNG-specific
             component, see the class documentation.
             """
-            return  {'name': RNG_NAME,
+            return  {'name': RS_RNG_NAME,
                      'state': _get_state(self.rng_state),
                      'gauss': {'has_gauss': self.rng_state.has_gauss, 'gauss': self.rng_state.gauss},
                      'uint32': {'has_uint32': self.rng_state.has_uint32, 'uint32': self.rng_state.uinteger}
@@ -478,8 +479,8 @@ cdef class RandomState:
         For information about the specific structure of the PRNG-specific
         component, see the class documentation.
         """
-        rng_name = RNG_NAME
-        IF RNG_NAME == 'mt19937':
+        rng_name = RS_RNG_NAME
+        IF RS_RNG_NAME == 'mt19937':
             if isinstance(state, tuple):
                 if state[0] != 'MT19937':
                     raise ValueError('Not a ' + rng_name + ' RNG state')
@@ -4227,7 +4228,7 @@ permutation = _rand.permutation
 
 sample = ranf = random = random_sample
 
-IF RNG_JUMPABLE:
+IF RS_RNG_JUMPABLE:
     jump = _rand.jump
-IF RNG_ADVANCEABLE:
+IF RS_RNG_ADVANCEABLE:
     advance = _rand.advance

randomstate/setup-single-rng.py

@@ -14,7 +14,7 @@
 
 with open('config.pxi', 'w') as config:
     config.write('# Autogenerated\n\n')
-    config.write("DEF RNG_MOD_NAME='xorshift128'\n")
+    config.write("DEF RS_RNG_MOD_NAME='xorshift128'\n")
 
 pwd = getcwd()
 

randomstate/shims/dSFMT/dSFMT-poly.h

@@ -0,0 +1,53 @@
+static const char * poly_128 =
+"f4dfa6c62049d0776e0bf6f1e953f3aa38abb113df86be024eab3773ad5f2b82ead936022e656dff7e562691c59dd5f7d2"
+"566b78d9669002503c4ddb1888a49f32333f515e6c60c4ecd221078ec6f26f0a90f4875067ca1f399a99775037adf90556"
+"6e2c7e6b42131420f8f04f112c92621c9b1502f2a8aefad6c667904af62f0d55e02d396902d3b89450103c5ce5fe0408d9"
+"7cbb864861b49e4e42048ff3310b48faac55095a7f422eea4aade752f947f947c6be0a0c665bdea099246ab9eff658ea8c"
+"a468bf49d0227748367878de06d7bd86ea6708fcac6e252f5f00f04309b2aac3036b64afb39d990427c6c9f03477cc7e93"
+"5c43c0e61bc161db8eb15516eee8cb377ecbc1849207990fb6778721b29bfe0d89bfda1b3772fa5b0b1f7ec3daf3605203"
+"2285898c6f6396f55010c31f8201b7e2e51d94f920bfe57684c5415cc342cb39a0045d9793d13cf8646096daeb8bb9bfc2"
+"0a90de8f2426da8733267a9b9674f32154e8f84a9932223a2ca3c787d0b66df6675febbdfcba2f9cef09c621c57e11098b"
+"3289c77397aaae8b104642ffe0c4b75598efbc53745984d68b4d6656cae299ae2be55217a9a02b009ca7be32f47fbe434b"
+"ce4914a34d0c9b0085bede9b8a99319c34660d66f0124b5a7714c4bf3cbfec3ee43ed817087168bad80133bebaeeb68cf7"
+"929a24d1bb3de831a8340d220906ab04159cf94b21d5ee813bd7c80f10f01b43052af530917513b169254c25d6fcfe6cb4"
+"20d6ce92f54886ef6eaf9a5ba35e893ff593834d05ddf28899e42d729c7df3d21ef036020789739366f0c11ec52ff92a0b"
+"fd8ba69508e27b20fabb8217bd36b90e5aa918159ac87913bc7b46c04e366c23c92807fbe9c6a407e6a4db0b4fc23c3b6c"
+"706b5ca058fe8c190f849f18d16d6b48b5ed760eb202fd566291a799420b9654e08b8118bcbfead8e9dd2fdb9b053e9bdf"
+"b665285c78718f726d0b3d6c37e116428ec9ac9db2637259e4e8d6402bbada46c6bdb03985e19a82e9b4e57de1b025a3cb"
+"1f850beae7e8da9941655825bce0e89d536b6ee9064865b1a85c185e9fc9cb7f435de13d44773c00eed442a286e4ab807e"
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+"6e14c8ce5fa3b4f82c5f7b6d2125916753a7b92ce9b46d45";

randomstate/shims/dSFMT/dSFMT-shim.c

@@ -1,4 +1,5 @@
 #include "dSFMT-shim.h"
+#include "dSFMT-poly.h"
 
 extern inline uint32_t random_uint32(aug_state* state);
 
@@ -33,4 +34,9 @@ void entropy_init(aug_state* state)
     uint32_t seeds[1];
     entropy_fill((void*) seeds, sizeof(seeds));
     set_seed(state,  seeds[0]);
+}
+
+void jump_state(aug_state* state)
+{
+    dSFMT_jump(state->rng, poly_128);
 }

randomstate/shims/dSFMT/dSFMT-shim.h

@@ -9,8 +9,10 @@
 
 #include "../../src/common/binomial.h"
 #include "../../src/common/entropy.h"
+#include "../../src/dSFMT/dSFMT-jump.h"
 #include "../../src/dSFMT/dSFMT.h"
 
+
 typedef struct s_aug_state {
     dsfmt_t *rng;
     binomial_t *binomial;
@@ -69,3 +71,4 @@ extern void set_seed_by_array(aug_state* state, uint32_t init_key[], int key_len
 
 extern void set_seed(aug_state* state, uint32_t seed);
 
+extern void jump_state(aug_state* state);

randomstate/shims/dSFMT/dSFMT.pxi

@@ -1,9 +1,5 @@
-DEF RNG_NAME = 'dSFMT'
-DEF RNG_ADVANCEABLE = 0
-DEF RNG_SEED = 1
-DEF RNG_JUMPABLE = 0
-DEF RNG_STATE_LEN = 4
-DEF NORMAL_METHOD = 'zig'
+DEF RS_RNG_NAME = 'dSFMT'
+DEF RS_RNG_JUMPABLE = 1
 DEF DSFMT_MEXP = 19937
 DEF DSFMT_N = 191 # ((DSFMT_MEXP - 128) / 104 + 1)
 DEF DSFMT_N_PLUS_1 = 192 # DSFMT_N + 1
@@ -43,6 +39,9 @@ cdef extern from "distributions.h":
 
     cdef void set_seed_by_array(aug_state* state, uint32_t init_key[], int key_length)
 
+    cdef void jump_state(aug_state* state)
+
+
 ctypedef dsfmt_t rng_t
 
 cdef object _get_state(aug_state state):
@@ -85,8 +84,8 @@ RandomState(seed=None)
 Container for the SIMD-based Mersenne Twister pseudo-random number generator.
 
 ``dSFMT.RandomState`` exposes a number of methods for generating random
-numbers drawn from a variety of probability distributions. In addition to the
-distribution-specific arguments, each method takes a keyword argument
+numbers drawn from a variety of probability distributions [1]_ . In addition
+to the distribution-specific arguments, each method takes a keyword argument
 `size` that defaults to ``None``. If `size` is ``None``, then a single
 value is generated and returned. If `size` is an integer, then a 1-D
 array filled with generated values is returned. If `size` is a tuple,
@@ -118,4 +117,28 @@ pseudo-random number generator with a number of methods that are similar
 to the ones available in `RandomState`. `RandomState`, besides being
 NumPy-aware, has the advantage that it provides a much larger number
 of probability distributions to choose from.
+
+**Parallel Features**
+
+``dsfmt.RandomState`` can be used in parallel applications by
+calling the method ``jump`` which advances the the state as-if :math:`2^{128}`
+random numbers have been generated [2]_. This allow the original sequence to
+be split so that distinct segments can be used on each worker process.  All
+generators should be initialized with the same seed to ensure that the
+segments come from the same sequence.
+
+>>> from randomstate.entropy import random_entropy
+>>> import randomstate.prng.dsfmt as rnd
+>>> seed = random_entropy()
+>>> rs = [rnd.RandomState(seed) for _ in range(10)]
+# Advance rs[i] by i jumps
+>>> for i in range(10):
+        rs[i].jump(i)
+
+.. [1] Mutsuo Saito and Makoto Matsumoto, "SIMD-oriented Fast Mersenne
+       Twister: a 128-bit Pseudorandom Number Generator." Monte Carlo
+       and Quasi-Monte Carlo Methods 2006, Springer, pp. 607 -- 622, 2008.
+.. [2] Hiroshi Haramoto, Makoto Matsumoto, and Pierre L'Ecuyer, "A Fast
+       Jump Ahead Algorithm for Linear Recurrences in a Polynomial Space",
+       Sequences and Their Applications - SETA, 290--298, 2008.
 """

randomstate/shims/mlfg-1279-861/mlfg-1279-861.pxi

@@ -1,10 +1,4 @@
-DEF RNG_NAME = 'mlfg-1279-861'
-DEF RNG_ADVANCEABLE = 0
-DEF RNG_JUMPABLE = 0
-DEF RNG_STATE_LEN = 4
-DEF RNG_SEED = 1
-DEF NORMAL_METHOD = 'zig'
-
+DEF RS_RNG_NAME = 'mlfg-1279-861'
 DEF MLFG_STATE_LEN = 1279
 
 cdef extern from "distributions.h":