Next-gen RandomState supporting multiple PRNGs

## Project description

## Future development in randomgen

**End-of-life notification**

This library was designed to bring alternative generators to the NumPy
infrastructure. It as been successful in advancing the conversation for
a future implementation of a new random number API in NumPy which will
allow new algorithms and/or generators. The next step in this process is
to separate the basic (or core RNG) from the functions that transform
random bits into useful random numbers. This has been implemented in a
successor project **randomgen** available on
GitHub or
PyPi.

randomgen has a slightly different API, so please see the randomgen documentation.

### Introduction

This is a library and generic interface for alternative random generators in Python and NumPy.

### Features

- Immediate drop in replacement for NumPy’s RandomState

# import numpy.random as rnd import randomstate as rnd x = rnd.standard_normal(100) y = rnd.random_sample(100) z = rnd.randn(10,10)

- Default random generator is identical to NumPy’s RandomState (i.e., same seed, same random numbers).
- Support for random number generators that support independent streams and jumping ahead so that sub-streams can be generated
- Faster random number generation, especially for normal, standard exponential and standard gamma using the Ziggurat method

import randomstate as rnd w = rnd.standard_normal(10000, method='zig') x = rnd.standard_exponential(10000, method='zig') y = rnd.standard_gamma(5.5, 10000, method='zig')

- Support for 32-bit floating randoms for core generators. Currently
supported:
- Uniforms (
`random_sample`) - Exponentials (
`standard_exponential`, both Inverse CDF and Ziggurat) - Normals (
`standard_normal`, both Box-Muller and Ziggurat) - Standard Gammas (via
`standard_gamma`, both Inverse CDF and Ziggurat)

- Uniforms (

**WARNING**: The 32-bit generators are **experimental** and subject to
change.

**Note**: There are *no* plans to extend the alternative precision
generation to all random number types.

- Support for filling existing arrays using
`out`keyword argument. Currently supported in (both 32- and 64-bit outputs)- Uniforms (
`random_sample`) - Exponentials (
`standard_exponential`) - Normals (
`standard_normal`) - Standard Gammas (via
`standard_gamma`)

- Uniforms (

### Included Pseudo Random Number Generators

This modules includes a number of alternative random number generators in addition to the MT19937 that is included in NumPy. The RNGs include:

- MT19937, the NumPy rng
- dSFMT a SSE2-aware version of the MT19937 generator that is especially fast at generating doubles
- SFMT a SSE2-aware version of the MT19937 generator that is optimized for integer values
- xorshift128+, xoroshiro128+ and xorshift1024*
- PCG32 and PCG64
- MRG32K3A
- A multiplicative lagged fibonacci generator (LFG(63, 1279, 861, *))

### Differences from `numpy.random.RandomState`

#### New Features

`standard_normal`,`normal`,`randn`and`multivariate_normal`all support an additional`method`keyword argument which can be`bm`or`zig`where`bm`corresponds to the current method using the Box-Muller transformation and`zig`uses the much faster (100%+) Ziggurat method.`standard_exponential`and`standard_gamma`both support an additional`method`keyword argument which can be`inv`or`zig`where`inv`corresponds to the current method using the inverse CDF and`zig`uses the much faster (100%+) Ziggurat method.- Core random number generators can produce either single precision
(
`np.float32`) or double precision (`np.float64`, the default) using an the optional keyword argument`dtype` - Core random number generators can fill existing arrays using the
`out`keyword argument

#### New Functions

`random_entropy`- Read from the system entropy provider, which is commonly used in cryptographic applications`random_raw`- Direct access to the values produced by the underlying PRNG. The range of the values returned depends on the specifics of the PRNG implementation.`random_uintegers`- unsigned integers, either 32- (`[0, 2**32-1]`) or 64-bit (`[0, 2**64-1]`)`jump`- Jumps RNGs that support it.`jump`moves the state a great distance.*Only available if supported by the RNG.*`advance`- Advanced the core RNG ‘as-if’ a number of draws were made, without actually drawing the numbers.*Only available if supported by the RNG.*

### Status

- Complete drop-in replacement for
`numpy.random.RandomState`. The`mt19937`generator is identical to`numpy.random.RandomState`, and will produce an identical sequence of random numbers for a given seed. - Builds and passes all tests on:
- Linux 32/64 bit, Python 2.7, 3.4, 3.5, 3.6 (probably works on 2.6 and 3.3)
- PC-BSD (FreeBSD) 64-bit, Python 2.7
- OSX 64-bit, Python 2.7
- Windows 32/64 bit (only tested on Python 2.7, 3.5 and 3.6, but should work on 3.3/3.4)

### Version

The version matched the latest version of NumPy where
`randomstate.prng.mt19937` passes all NumPy test.

### Documentation

An occasionally updated build of the documentation is available on my github pages.

### Plans

This module is essentially complete. There are a few rough edges that need to be smoothed.

- Stream support for MLFG
- Creation of additional streams from a RandomState where supported
(i.e. a
`next_stream()`method)

### Requirements

Building requires:

- Python (2.7, 3.4, 3.5, 3.6)
- NumPy (1.9, 1.10, 1.11, 1.12)
- Cython (0.22,
**not**0.23, 0.24, 0.25) - tempita (0.5+), if not provided by Cython

Testing requires pytest (3.0+).

**Note:** it might work with other versions but only tested with these
versions.

### Development and Testing

Basic tests are in place for all RNGs. The MT19937 is tested against NumPy’s implementation for identical results. It also passes NumPy’s test suite.

### Installing

python setup.py install

#### SSE2

`dSFTM` makes use of SSE2 by default. If you have a very old computer
or are building on non-x86, you can install using:

python setup.py install --no-sse2

#### Windows

Either use a binary installer, or if building from scratch, use Python
3.5 with Visual Studio 2015 Community Edition. It can also be build
using Microsoft Visual C++ Compiler for Python 2.7 and Python 2.7,
although some modifications may be needed to `distutils` to find the
compiler.

### Using

The separate generators are importable from `randomstate.prng`.

import randomstate rs = randomstate.prng.xorshift128.RandomState() rs.random_sample(100) rs = randomstate.prng.pcg64.RandomState() rs.random_sample(100) # Identical to NumPy rs = randomstate.prng.mt19937.RandomState() rs.random_sample(100)

Like NumPy, `randomstate` also exposes a single instance of the
`mt19937` generator directly at the module level so that commands like

import randomstate randomstate.standard_normal() randomstate.exponential(1.0, 1.0, size=10)

will work.

### License

Standard NCSA, plus sub licenses for components.

### Performance

Performance is promising, and even the mt19937 seems to be faster than NumPy’s mt19937.

Speed-up relative to NumPy (Uniform Doubles) ************************************************************ randomstate.prng-dsfmt-random_sample 313.5% randomstate.prng-mlfg_1279_861-random_sample 459.4% randomstate.prng-mrg32k3a-random_sample -57.6% randomstate.prng-mt19937-random_sample 72.5% randomstate.prng-pcg32-random_sample 232.8% randomstate.prng-pcg64-random_sample 330.6% randomstate.prng-xoroshiro128plus-random_sample 609.9% randomstate.prng-xorshift1024-random_sample 348.8% randomstate.prng-xorshift128-random_sample 489.7% Speed-up relative to NumPy (Normals using Box-Muller) ************************************************************ randomstate.prng-dsfmt-standard_normal 26.8% randomstate.prng-mlfg_1279_861-standard_normal 30.9% randomstate.prng-mrg32k3a-standard_normal -14.8% randomstate.prng-mt19937-standard_normal 17.7% randomstate.prng-pcg32-standard_normal 24.5% randomstate.prng-pcg64-standard_normal 26.2% randomstate.prng-xoroshiro128plus-standard_normal 31.4% randomstate.prng-xorshift1024-standard_normal 27.4% randomstate.prng-xorshift128-standard_normal 30.3% Speed-up relative to NumPy (Normals using Ziggurat) ************************************************************ randomstate.prng-dsfmt-standard_normal 491.7% randomstate.prng-mlfg_1279_861-standard_normal 439.6% randomstate.prng-mrg32k3a-standard_normal 101.2% randomstate.prng-mt19937-standard_normal 354.4% randomstate.prng-pcg32-standard_normal 531.0% randomstate.prng-pcg64-standard_normal 517.9% randomstate.prng-xoroshiro128plus-standard_normal 674.0% randomstate.prng-xorshift1024-standard_normal 486.7% randomstate.prng-xorshift128-standard_normal 617.0%

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