Re: [R] Random seed problem in MCMC coupling of chains

From: Duncan Murdoch <murdoch_at_stats.uwo.ca>
Date: Wed 08 Jun 2005 - 23:53:10 EST

On 6/8/2005 9:27 AM, Gorjanc Gregor wrote:
> Hello!
>
> I am performing coupling of chains in MCMC and I need the same value
> of seed for two chains. I will show demo of what I want:
>
> R code, which might show my example is:
> niter <- 3
> nchain <- 2
> tmpSeed <- 123
> for (i in 1:niter) { # iterations
> for (j in 1:nchain) { # chains
> set.seed(tmpSeed)
> a <- runif(1)
> cat("iter:", i, "chain:", j, "runif:", a, "\n")
> tmpSeed <- .Random.seed
> }
> }
>
> I get this:
>
> iter: 1 chain: 1 runif: 0.43588
> iter: 1 chain: 2 runif: 0.43588
> iter: 2 chain: 1 runif: 0.43588
> iter: 2 chain: 2 runif: 0.43588
> iter: 3 chain: 1 runif: 0.43588
> iter: 3 chain: 2 runif: 0.43588
>
> but I would like to get:
>
> iter: 1 chain: 1 runif: 0.43588
> iter: 1 chain: 2 runif: 0.43588
> iter: 2 chain: 1 runif: 0.67676
> iter: 2 chain: 2 runif: 0.67676
> iter: 3 chain: 1 runif: 0.12368
> iter: 3 chain: 2 runif: 0.12368
>
> Note that seed value is of course changing, but it is parallel
> between chains.

set.seed takes an integer, but .Random.seed is a complicated vector. You need to play with .Random.seed directly, and move your setting of tmpSeed out of the inner loop, i.e.

 > niter <- 3
 > nchain <- 2
 > set.seed(123)
 > tmpSeed <- .Random.seed
 > for (i in 1:niter) { # iterations
+   for (j in 1:nchain) { # chains
+     .Random.seed <- tmpSeed
+     a <- runif(1)
+     cat("iter:", i, "chain:", j, "runif:", a, "\n")
+   }

+ tmpSeed <- .Random.seed
+ }
iter: 1 chain: 1 runif: 0.2875775
iter: 1 chain: 2 runif: 0.2875775
iter: 2 chain: 1 runif: 0.7883051
iter: 2 chain: 2 runif: 0.7883051
iter: 3 chain: 1 runif: 0.4089769
iter: 3 chain: 2 runif: 0.4089769

However, heed the warnings in ?set.seed: with some generators .Random.seed *does not* contain the full state of the RNG. As far as I know there is no way to obtain the full state.

Duncan Murdoch



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