[Numpy-discussion] speed of random number generator compared to Julia

[Neal Becker]

Take a look here:
https://bashtage.github.io/ng-numpy-randomstate/doc/index.html

On Mon, Apr 3, 2017 at 9:45 AM Jaime Fernández del Río <jaime.frio at gmail.com>
wrote:

> On Mon, Apr 3, 2017 at 3:20 PM, Pierre Haessig <pierre.haessig at crans.org>
> wrote:
>
> Hello,
> Le 30/03/2017 à 13:31, Pierre Haessig a écrit :
>
> [....]
>
> But how come Julia is 4-5x faster since Numpy uses C implementation for
> the entire process ? (Mersenne Twister -> uniform double -> Box-Muller
> transform to get a Gaussian
> https://github.com/numpy/numpy/blob/master/numpy/random/mtrand/randomkit.c).
> Also I noticed that Julia uses a different algorithm (Ziggurat Method
> from Marsaglia and Tsang ,
> https://github.com/JuliaLang/julia/blob/master/base/random.jl#L700) but
> this doesn't explain the difference for uniform rng.
>
> Any ideas?
>
>
> This
> <https://github.com/JuliaLang/julia/blob/7fb758a275a0b4cf0e3f4cbf482c065cb32f0011/doc/src/stdlib/numbers.md#L116> says
> that Julia uses this library
> <http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/SFMT/#dSFMT>, which is
> different from the home brewed version of the Mersenne twister in NumPy.
> The second link I posted claims their speed comes from generating double
> precision numbers directly, rather than generating random bytes that have
> to be converted to doubles, as is the case of NumPy through this magical
> incantation
> <https://github.com/numpy/numpy/blob/master/numpy/random/mtrand/randomkit.c#L514>.
> They also throw the SIMD acronym around, which likely means their random
> number generation is parallelized.
>
> My guess is that most of the speed-up comes from the SIMD parallelization:
> the Mersenne algorithm does a lot of work
> <https://github.com/numpy/numpy/blob/master/numpy/random/mtrand/randomkit.c#L221> to
> produce 32 random bits, so that likely dominates over a couple of
> arithmetic operations, even if divisions are involved.
>
> Jaime
>
> Do you think Stackoverflow would be a better place for my question?
>
> best,
>
> Pierre
>
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