ENH: Add xoroshiro128+ prng

Add support for the xoroshiro128+ PRNG that improves the xorshift128+
PRNG in terms of performance and statistical properties

closes #49

Author: bashtage

LICENSE.md

@@ -1,6 +1,6 @@
 # License
 
-Copyright (c) 2015 Kevin Sheppard 
+Copyright (c) 2016 Kevin Sheppard
 All rights reserved.
 
 Developed by: 		Kevin Sheppard

README.md

@@ -40,7 +40,7 @@ The RNGs include:
  the NumPy rng
 * [dSFMT](http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/SFMT/) a SSE2-aware 
 version of the MT19937 generator that is especially fast at generating doubles
-* [xorshift128+](http://xorshift.di.unimi.it/) and 
+* [xorshift128+](http://xorshift.di.unimi.it/), [xoroshiro128+](http://xoroshiro.di.unimi.it/)
 [xorshift1024*](http://xorshift.di.unimi.it/)
 * [PCG32](http://www.pcg-random.org/) and [PCG64](http:w//www.pcg-random.org/)
 * [MRG32K3A](http://simul.iro.umontreal.ca/rng)
@@ -97,8 +97,8 @@ This module is essentially complete.  There are a few rough edges that need to b
 ## Requirements
 Building requires:
 
-  * Numpy (1.9, 1.10)
-  * Cython (0.22, 0.23)
+  * Numpy (1.9, 1.10, 1.11)
+  * Cython (0.22, 0.23, 0.24)
   * Python (2.6, 2.7, 3.3, 3.4, 3.5)
 
 **Note:** it might work with other versions but only tested with these 
@@ -169,23 +169,25 @@ Performance is promising, and even the mt19937 seems to be faster than NumPy's m
 ```
 Speed-up relative to NumPy (Box-Muller)
 ************************************************************
-randomstate.prng-dsfmt-standard_normal             70.5%
-randomstate.prng-mlfg_1279_861-standard_normal     26.9%
-randomstate.prng-mrg32k3a-standard_normal         -18.7%
-randomstate.prng-mt19937-standard_normal           13.5%
-randomstate.prng-pcg32-standard_normal             26.1%
-randomstate.prng-pcg64-standard_normal             26.2%
-randomstate.prng-xorshift1024-standard_normal      27.2%
-randomstate.prng-xorshift128-standard_normal       30.0%
+randomstate.prng-dsfmt-standard_normal                30.2%
+randomstate.prng-mlfg_1279_861-standard_normal        24.7%
+randomstate.prng-mrg32k3a-standard_normal            -17.8%
+randomstate.prng-mt19937-standard_normal              11.2%
+randomstate.prng-pcg32-standard_normal                22.0%
+randomstate.prng-pcg64-standard_normal                21.8%
+randomstate.prng-xoroshiro128plus-standard_normal     26.5%
+randomstate.prng-xorshift1024-standard_normal         20.2%
+randomstate.prng-xorshift128-standard_normal          23.5%
 
 Speed-up relative to NumPy (Ziggurat)
 ************************************************************
-randomstate.prng-dsfmt-standard_normal            316.1%
-randomstate.prng-mlfg_1279_861-standard_normal    247.0%
-randomstate.prng-mrg32k3a-standard_normal          51.2%
-randomstate.prng-mt19937-standard_normal          175.9%
-randomstate.prng-pcg32-standard_normal            255.9%
-randomstate.prng-pcg64-standard_normal            329.1%
-randomstate.prng-xorshift1024-standard_normal     362.0%
-randomstate.prng-xorshift128-standard_normal      513.7%
-```
+randomstate.prng-dsfmt-standard_normal               494.2%
+randomstate.prng-mlfg_1279_861-standard_normal       464.2%
+randomstate.prng-mrg32k3a-standard_normal            103.8%
+randomstate.prng-mt19937-standard_normal             362.6%
+randomstate.prng-pcg32-standard_normal               539.6%
+randomstate.prng-pcg64-standard_normal               407.7%
+randomstate.prng-xoroshiro128plus-standard_normal    722.8%
+randomstate.prng-xorshift1024-standard_normal        506.1%
+randomstate.prng-xorshift128-standard_normal         686.3%
+```

README.rst

@@ -41,7 +41,8 @@ in addition to the MT19937 that is included in NumPy. The RNGs include:
 -  `dSFMT <http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/SFMT/>`__ a
    SSE2-aware version of the MT19937 generator that is especially fast
    at generating doubles
--  `xorshift128+ <http://xorshift.di.unimi.it/>`__ and
+-  `xorshift128+ <http://xorshift.di.unimi.it/>`__,
+   `xoroshiro128+ <http://xoroshiro.di.unimi.it/>`__
    `xorshift1024\* <http://xorshift.di.unimi.it/>`__
 -  `PCG32 <http://www.pcg-random.org/>`__ and
    `PCG64 <http:w//www.pcg-random.org/>`__
@@ -117,8 +118,8 @@ Requirements
 
 Building requires:
 
--  Numpy (1.9, 1.10)
--  Cython (0.22, 0.23)
+-  Numpy (1.9, 1.10, 1.11)
+-  Cython (0.22, 0.23, 0.24)
 -  Python (2.6, 2.7, 3.3, 3.4, 3.5)
 
 **Note:** it might work with other versions but only tested with these
@@ -203,25 +204,27 @@ NumPy's mt19937.
 
     Speed-up relative to NumPy (Box-Muller)
     ************************************************************
-    randomstate.prng-dsfmt-standard_normal             70.5%
-    randomstate.prng-mlfg_1279_861-standard_normal     26.9%
-    randomstate.prng-mrg32k3a-standard_normal         -18.7%
-    randomstate.prng-mt19937-standard_normal           13.5%
-    randomstate.prng-pcg32-standard_normal             26.1%
-    randomstate.prng-pcg64-standard_normal             26.2%
-    randomstate.prng-xorshift1024-standard_normal      27.2%
-    randomstate.prng-xorshift128-standard_normal       30.0%
+    randomstate.prng-dsfmt-standard_normal                30.2%
+    randomstate.prng-mlfg_1279_861-standard_normal        24.7%
+    randomstate.prng-mrg32k3a-standard_normal            -17.8%
+    randomstate.prng-mt19937-standard_normal              11.2%
+    randomstate.prng-pcg32-standard_normal                22.0%
+    randomstate.prng-pcg64-standard_normal                21.8%
+    randomstate.prng-xoroshiro128plus-standard_normal     26.5%
+    randomstate.prng-xorshift1024-standard_normal         20.2%
+    randomstate.prng-xorshift128-standard_normal          23.5%
 
     Speed-up relative to NumPy (Ziggurat)
     ************************************************************
-    randomstate.prng-dsfmt-standard_normal            316.1%
-    randomstate.prng-mlfg_1279_861-standard_normal    247.0%
-    randomstate.prng-mrg32k3a-standard_normal          51.2%
-    randomstate.prng-mt19937-standard_normal          175.9%
-    randomstate.prng-pcg32-standard_normal            255.9%
-    randomstate.prng-pcg64-standard_normal            329.1%
-    randomstate.prng-xorshift1024-standard_normal     362.0%
-    randomstate.prng-xorshift128-standard_normal      513.7%
+    randomstate.prng-dsfmt-standard_normal               494.2%
+    randomstate.prng-mlfg_1279_861-standard_normal       464.2%
+    randomstate.prng-mrg32k3a-standard_normal            103.8%
+    randomstate.prng-mt19937-standard_normal             362.6%
+    randomstate.prng-pcg32-standard_normal               539.6%
+    randomstate.prng-pcg64-standard_normal               407.7%
+    randomstate.prng-xoroshiro128plus-standard_normal    722.8%
+    randomstate.prng-xorshift1024-standard_normal        506.1%
+    randomstate.prng-xorshift128-standard_normal         686.3%
 
 .. |Travis Build Status| image:: https://travis-ci.org/bashtage/ng-numpy-randomstate.svg?branch=master
    :target: https://travis-ci.org/bashtage/ng-numpy-randomstate

doc/source/change-log.rst

@@ -0,0 +1,32 @@
+.. _change-log:
+
+Change Log
+==========
+
+Version 1.11.1
+--------------
+
+* Added xoroshiro128+ PRNG.  This is an improved version of the xorshirt128+
+  PRNG and should be used instead.  In the long run, xorshift128+ will likely
+  be removed.
+* Fixed DeprecationWarning when initializing a PRNG using a single element
+  array.
+
+Version 1.11
+------------
+
+* Update to recent changes in NumPy's RandomState
+* Expose system entropy through :meth:`randomstate.entropy.random_entropy`
+* Add vector initialization for all PRNGs
+
+Version 1.10.1
+--------------
+
+* Added support for jumping the MRG32K3A generator
+* Added support for jumping the dSFMT generator
+* Update to recent changes in NumPy's RandomState
+
+Version 1.10
+------------
+
+* This is the initial release with compatibility with NumPy 1.10

doc/source/conf.py

@@ -65,7 +65,7 @@
 # The short X.Y version.
 version = '1.11'
 # The full version, including alpha/beta/rc tags.
-release = '1.11.0'
+release = '1.11.1'
 
 # The language for content autogenerated by Sphinx. Refer to documentation
 # for a list of supported languages.

doc/source/index.rst

@@ -12,6 +12,7 @@ What's New or Different
   ``/dev/urandom`` on Unix).
 * The normal generator supports a 256-step ziggurat method which is 2-6 times
   faster than NumPy's ``standard_normal``.  This generator can be accessed using
+* For changes since the previous release, see the :ref:`change-log`
 
 .. code-block:: python
 
@@ -37,11 +38,17 @@ generators, 'in addition' to the standard PRNG in NumPy.  The included PRNGs are
 * dSFMT - A SSE2 enables version of the MT19937 generator.  Theoretically the
   same, but with a different state and so it is not possible to produce a
   sequence identical to MT19937. See the `dSFMT authors' page`_.
+* XoroShiro128+ - Improved version of XorShift128+ with improved performance
+  and better statistical quality. Like the XorShift generators, can be jumped
+  to produce multiple streams in parallel applications. See
+  :meth:`randomstate.prng.xoroshiro128plus.jump` for details. More information
+  about this PRNG is available at the `xorshift and xoroshiro authors' page`_.
 * XorShit128+ and XorShift1024* - Vast fast generators based on the XSadd
   generator. These generators can be rapidly 'jumped' and so can be used in
   parallel applications. See the documentation for
   :meth:`randomstate.prng.xorshift1024.jump` for details. More information
-  about these PRNGs is available at the `xorshift authors' page`_.
+  about these PRNGs is available at the
+  `xorshift and xoroshiro authors' page`_.
 * PCG-32 and PCG-64 - Fast generators that support many parallel streams and
   can be advanced by an arbitrary amount. See the documentation for
   :meth:`randomstate.prng.pcg64.advance`.  PCG-32 only as a period of
@@ -57,7 +64,7 @@ generators, 'in addition' to the standard PRNG in NumPy.  The included PRNGs are
 
 .. _`NumPy's documentation`: http://docs.scipy.org/doc/numpy/reference/routines.random.html
 .. _`dSFMT authors' page`: http://www.math.sci.hiroshima-u.ac.jp/~m-mat/MT/SFMT/
-.. _`xorshift authors' page`:  http://xorshift.di.unimi.it/
+.. _`xorshift and xoroshiro authors' page`:  http://xoroshiro.di.unimi.it/
 .. _`PCG author's page`: http://www.pcg-random.org/
 .. _`wiki page on Fibonacci generators`: https://en.wikipedia.org/wiki/Lagged_Fibonacci_generator
 .. _`MRG32K3A author's page`: http://simul.iro.umontreal.ca/
@@ -72,6 +79,7 @@ Individual Pseudo Random Number Generators
    MT19937 <mt19937>
    dSFMT <dsfmt>
    XorShift128+ <xorshift128>
+   XoroShiro128+ <xoroshiro128plus>
    XorShift1024* <xorshift1024>
    PCG-32 <pcg32>
    PCG-64 <pcg64>
@@ -86,3 +94,4 @@ Indices and tables
 * :ref:`genindex`
 * :ref:`modindex`
 * :ref:`search`
+

doc/source/xoroshiro128plus.rst

@@ -0,0 +1,91 @@
+XorShift128+ Randomstate
+************************
+
+.. currentmodule:: randomstate.prng.xoroshiro128plus
+
+
+Random generator
+================
+.. autoclass::
+   RandomState
+
+.. autosummary::
+   :toctree: generated/
+
+   seed
+   get_state
+   set_state
+
+Parallel generation
+===================
+.. autosummary::
+   :toctree: generated/
+
+   jump
+
+Simple random data
+==================
+.. autosummary::
+   :toctree: generated/
+
+   rand
+   randn
+   randint
+   random_integers
+   random_sample
+   random
+   ranf
+   sample
+   choice
+   bytes
+   random_uintegers
+   random_raw
+
+Permutations
+============
+.. autosummary::
+   :toctree: generated/
+
+   shuffle
+   permutation
+
+Distributions
+=============
+.. autosummary::
+   :toctree: generated/
+
+   beta
+   binomial
+   chisquare
+   dirichlet
+   exponential
+   f
+   gamma
+   geometric
+   gumbel
+   hypergeometric
+   laplace
+   logistic
+   lognormal
+   logseries
+   multinomial
+   multivariate_normal
+   negative_binomial
+   noncentral_chisquare
+   noncentral_f
+   normal
+   pareto
+   poisson
+   power
+   rayleigh
+   standard_cauchy
+   standard_exponential
+   standard_gamma
+   standard_normal
+   standard_t
+   triangular
+   uniform
+   vonmises
+   wald
+   weibull
+   zipf

randomstate/distributions.h

@@ -32,6 +32,8 @@ typedef int bool;
 #include "interface/xorshift128/xorshift128-shim.h"
 #elif defined(RS_XORSHIFT1024)
 #include "interface/xorshift1024/xorshift1024-shim.h"
+#elif defined(RS_XOROSHIRO128PLUS)
+#include "interface/xoroshiro128plus/xoroshiro128plus-shim.h"
 #elif defined(RS_MRG32K3A)
 #include "interface/mrg32k3a/mrg32k3a-shim.h"
 #elif defined(RS_MLFG_1279_861)

randomstate/interface/xoroshiro128plus/xoroshiro128plus-shim.c

@@ -0,0 +1,38 @@
+#include "xoroshiro128plus-shim.h"
+
+extern inline uint32_t random_uint32(aug_state* state);
+
+extern inline uint64_t random_uint64(aug_state* state);
+
+extern inline double random_double(aug_state* state);
+
+extern inline uint64_t random_raw_values(aug_state* state);
+
+void set_seed(aug_state* state, uint64_t seed)
+{
+    xoroshiro128plus_seed(state->rng, seed);
+}
+
+void set_seed_by_array(aug_state* state, uint64_t *vals, int count)
+{
+    xoroshiro128plus_seed_by_array(state->rng, vals, count);
+}
+
+
+void entropy_init(aug_state* state)
+{
+    uint64_t seed[1];
+    entropy_fill((void*) seed, sizeof(seed));
+    xoroshiro128plus_seed(state->rng, seed[0]);
+}
+
+void jump_state(aug_state* state)
+{
+    xoroshiro128plus_jump(state->rng);
+}
+
+void init_state(aug_state* state, uint64_t* state_vals)
+{
+    xoroshiro128plus_init_state(state->rng, *(state_vals), *(state_vals + 1));
+}
+