RDieHarder 0.1.2

April 13, 2012

(This article was first published on Thinking inside the box , and kindly contributed to R-bloggers)

RDieHarder is an R package providing access to the DieHarder battery of tests for random number generators developed by Robert G. Brown and others. DieHarder had been updated to version 3.1.1 a while back, and I had been a little behind with updating RDieHarder. Version 0.1.2 rectifies this.

The package still comes with a vignette describing both DieHarder and the RDieHarder package. And because pictures speak louder than a thousand (blogged) words, here is the first chart from the vignette:

RDieHarder test of weak RNG RDieHarder test of stronger RNG
On the left, we have a poor random-number generator (RNG), the older ran0 function. The histogram illustrating the distribution of test scores is somewhat uneven. An ideal (and asymptotic) outcode is a uniform distribution of p-values from the test. The empirical cumulative distribution function (ECDF) below indicates a somewhat pronounced departure from the diagonal. Informally speaking, this is what the (Kuiper-)Kolmogorov-Smirnov test quantifies, and we see (in the text in the chart) that the null of can be rejected an conventional levels. Based on this example (which had a short run-time with few samples) we would indeed mistrust this (known bad) RNG.

On the right, we have a more recent and trusted RNG, the well-known Mersenne Twister. The ten histogram buckets are all closer to the expected value of one-tenth, the estimated density is closer to flat, the ECDF is closer to the diagonal and the tests don't reject---so no reason to mistrust this RNG based on this test alone.

RDieHarder lets you run a battery of such tests against a boatload of known RNGs. Here is a second example, comparing the six RNGs built into R itself:

RDieHarder test of RNGs in GNU R
And these six look fine, as you'd expect. (And yes, the ECDF charts should each be on a square plot. Another time...)

Courtesy of CRANberries, there is also a diffstat report for 0.1.2 relative to the older 0.1.1 release. More detailed information is on the RDieHarder page.

To leave a comment for the author, please follow the link and comment on his blog: Thinking inside the box .

R-bloggers.com offers daily e-mail updates about R news and tutorials on topics such as: visualization (ggplot2, Boxplots, maps, animation), programming (RStudio, Sweave, LaTeX, SQL, Eclipse, git, hadoop, Web Scraping) statistics (regression, PCA, time series, trading) and more...

If you got this far, why not subscribe for updates from the site? Choose your flavor: e-mail, twitter, RSS, or facebook...

Comments are closed.