From iuc@r @ending from fedor@project@org  Wed Sep 19 15:09:47 2018
From: iuc@r @ending from fedor@project@org (=?UTF-8?Q?I=C3=B1aki_Ucar?=)
Date: Wed, 19 Sep 2018 15:09:47 +0200
Subject: [Rd] Bias in R's random integers?
In-Reply-To: <ffb74021-8d95-a820-8013-f0e51dc1a9b3@gmail.com>
References: <CAN_1p9wVX=AR8aYtC2LJo0bgN9cRW3XcbYJqnVHdCzA-QA1ceg@mail.gmail.com>
 <ffb74021-8d95-a820-8013-f0e51dc1a9b3@gmail.com>
Message-ID: <CALEXWq3booRRTSYvYqcjV7qPZGOC1oh5o45b5o=J2ypQi5s-ag@mail.gmail.com>

El mi?., 19 sept. 2018 a las 14:43, Duncan Murdoch
(<murdoch.duncan at gmail.com>) escribi?:
>
> On 18/09/2018 5:46 PM, Carl Boettiger wrote:
> > Dear list,
> >
> > It looks to me that R samples random integers using an intuitive but biased
> > algorithm by going from a random number on [0,1) from the PRNG to a random
> > integer, e.g.
> > https://github.com/wch/r-source/blob/tags/R-3-5-1/src/main/RNG.c#L808
> >
> > Many other languages use various rejection sampling approaches which
> > provide an unbiased method for sampling, such as in Go, python, and others
> > described here:  https://arxiv.org/abs/1805.10941 (I believe the biased
> > algorithm currently used in R is also described there).  I'm not an expert
> > in this area, but does it make sense for the R to adopt one of the unbiased
> > random sample algorithms outlined there and used in other languages?  Would
> > a patch providing such an algorithm be welcome? What concerns would need to
> > be addressed first?
> >
> > I believe this issue was also raised by Killie & Philip in
> > http://r.789695.n4.nabble.com/Bug-in-sample-td4729483.html, and more
> > recently in
> > https://www.stat.berkeley.edu/~stark/Preprints/r-random-issues.pdf,
> > pointing to the python implementation for comparison:
> > https://github.com/statlab/cryptorandom/blob/master/cryptorandom/cryptorandom.py#L265
>
> I think the analyses are correct, but I doubt if a change to the default
> is likely to be accepted as it would make it more difficult to reproduce
> older results.
>
> On the other hand, a contribution of a new function like sample() but
> not suffering from the bias would be good.  The normal way to make such
> a contribution is in a user contributed package.
>
> By the way, R code illustrating the bias is probably not very hard to
> put together.  I believe the bias manifests itself in sample() producing
> values with two different probabilities (instead of all equal
> probabilities).  Those may differ by as much as one part in 2^32.  It's

According to Kellie and Philip, in the attachment of the thread
referenced by Carl, "The maximum ratio of selection probabilities can
get as large as 1.5 if n is just below 2^31".

I?aki

> very difficult to detect a probability difference that small, but if you
> define the partition of values into the high probability values vs the
> low probability values, you can probably detect the difference in a
> feasible simulation.
>
> Duncan Murdoch
>



[Rd] Bias in R's random integers?
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