在 Rcpp 中使用 gsl_ran_multinomial 时出现问题

Question

I'm trying to generate multinomial random variables as fast as possible. And I learned that gsl_ran_multinomial could be a good choice. However, I tried to use it based on the answer in this post: https://stackoverflow.com/a/23100665/21039115 , and the results were always wrong.

In detail, my code is

// [[Rcpp::export]]
arma::ivec rmvn_gsl(int K, arma::vec prob) {
    gsl_rng *s = gsl_rng_alloc(gsl_rng_mt19937); // Create RNG seed
    arma::ivec temp(K);
    gsl_ran_multinomial(s, K, 1, prob.begin(), (unsigned int *) temp.begin());
    gsl_rng_free(s); // Free memory
    return temp;
}

And the result was something like

rmvn_gsl(3, c(0.2, 0.7, 0.1))
     [,1]
[1,]    1
[2,]    0
[3,]    0

which is ridiculous.

I was wondering if there was any problem exist in the code... I couldn't find any other examples to compare. I appreciate any help!!!

UPDATE:

I found the primary problem here is that I didn't set a random seed, and it seems that gsl has its own default seed (FYI: https://stackoverflow.com/a/32939816/21039115 ). Once I set the seed by time, the code worked. But I will go with rmultinom since it can even be faster than gsl_ran_multinomial based on microbenchmark.

Anyway, @Dirk Eddelbuettel provided a great example of implementing gsl_ran_multinomial below. Just pay attention to the random seeds issue if someone met the same problem as me.

Answer 1

Here is a complete example taking a double vector of probabilities and returning an unsigned integer vector (at the compiled level) that is mapped to an integer vector by the time we are back in R:

Code

#include <RcppGSL.h>
#include <gsl/gsl_rng.h>
#include <gsl/gsl_randist.h>

// [[Rcpp::depends(RcppGSL)]]

// [[Rcpp::export]]
std::vector<unsigned int> foo(int n, const std::vector <double> p) {
    int k = p.size();
    std::vector<unsigned int> nv(k);
    gsl_rng_env_setup();
    gsl_rng *s = gsl_rng_alloc(gsl_rng_mt19937); // Create RNG instance
    gsl_ran_multinomial(s, k, n, &(p[0]), &(nv[0]));
    gsl_rng_free(s);

    return nv;
}


/*** R
foo(400, c(0.1, 0.2, 0.3, 0.4))
*/

Output

> Rcpp::sourceCpp("~/git/stackoverflow/75165241/answer.cpp")

> foo(400, c(0.1, 0.2, 0.3, 0.4))
[1]  37  80 138 145
>