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Change default RNG to boost::mixmax #3264

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Feb 14, 2024
Merged

Change default RNG to boost::mixmax #3264

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223497a
Change RNG to boost::mixmax
WardBrian Jan 30, 2024
3b75dc0
Update seed/rng-dependent tests
WardBrian Jan 30, 2024
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11 changes: 3 additions & 8 deletions src/stan/services/util/create_rng.hpp
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Original file line number Diff line number Diff line change
@@ -1,11 +1,11 @@
#ifndef STAN_SERVICES_UTIL_CREATE_RNG_HPP
#define STAN_SERVICES_UTIL_CREATE_RNG_HPP

#include <boost/random/additive_combine.hpp>
#include <boost/random/mixmax.hpp>

namespace stan {

using rng_t = boost::ecuyer1988;
using rng_t = boost::random::mixmax;

namespace services {
namespace util {
Expand All @@ -26,12 +26,7 @@ namespace util {
* @return an stan::rng_t instance
*/
inline rng_t create_rng(unsigned int seed, unsigned int chain) {
using boost::uintmax_t;
static constexpr uintmax_t DISCARD_STRIDE = static_cast<uintmax_t>(1) << 50;
rng_t rng(seed);
// always discard at least 1 to avoid issue with small seeds for certain RNG
// distributions. See stan#3167 and boostorg/random#92
rng.discard(std::max(static_cast<uintmax_t>(1), DISCARD_STRIDE * chain));
rng_t rng(seed + chain);
return rng;
}

Expand Down
6 changes: 3 additions & 3 deletions src/test/unit/mcmc/hmc/nuts/base_nuts_test.cpp
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Expand Up @@ -333,7 +333,7 @@ TEST(McmcNutsBaseNuts, divergence_test) {
}

TEST(McmcNutsBaseNuts, transition) {
stan::rng_t base_rng(0);
stan::rng_t base_rng = stan::services::util::create_rng(0, 0);

int model_size = 1;
double init_momentum = 1.5;
Expand Down Expand Up @@ -362,7 +362,7 @@ TEST(McmcNutsBaseNuts, transition) {
EXPECT_EQ((2 << (sampler.get_max_depth() - 1)) - 1, sampler.n_leapfrog_);
EXPECT_FALSE(sampler.divergent_);

EXPECT_EQ(21 * init_momentum, s.cont_params()(0));
EXPECT_EQ(-31 * init_momentum, s.cont_params()(0));
EXPECT_EQ(0, s.log_prob());
EXPECT_EQ(1, s.accept_stat());
EXPECT_EQ("", debug.str());
Expand All @@ -373,7 +373,7 @@ TEST(McmcNutsBaseNuts, transition) {
}

TEST(McmcNutsBaseNuts, transition_egde_momenta) {
stan::rng_t base_rng(0);
stan::rng_t base_rng = stan::services::util::create_rng(424243, 0);

int model_size = 1;
double init_momentum = 1.5;
Expand Down
16 changes: 8 additions & 8 deletions src/test/unit/mcmc/hmc/nuts/softabs_nuts_test.cpp
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Expand Up @@ -309,7 +309,7 @@ TEST(McmcSoftAbsNuts, tree_boundary_test) {
}

TEST(McmcSoftAbsNuts, transition_test) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::softabs_point z_init(3);
z_init.q(0) = 1;
Expand Down Expand Up @@ -338,15 +338,15 @@ TEST(McmcSoftAbsNuts, transition_test) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_EQ(4, sampler.depth_);
EXPECT_EQ((2 << 3) - 1, sampler.n_leapfrog_);
EXPECT_EQ(5, sampler.depth_);
EXPECT_EQ((2 << 4) - 1, sampler.n_leapfrog_);
EXPECT_FALSE(sampler.divergent_);

EXPECT_FLOAT_EQ(1.9313564, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.86902142, s.cont_params()(1));
EXPECT_FLOAT_EQ(1.6008, s.cont_params()(2));
EXPECT_FLOAT_EQ(-3.5239484, s.log_prob());
EXPECT_FLOAT_EQ(0.99690288, s.accept_stat());
EXPECT_FLOAT_EQ(-1.7373296, s.cont_params()(0));
EXPECT_FLOAT_EQ(1.0898665, s.cont_params()(1));
EXPECT_FLOAT_EQ(-0.38303182, s.cont_params()(2));
EXPECT_FLOAT_EQ(-2.1764181, s.log_prob());
EXPECT_FLOAT_EQ(0.9993856, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand Down
16 changes: 8 additions & 8 deletions src/test/unit/mcmc/hmc/nuts/unit_e_nuts_test.cpp
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Expand Up @@ -309,7 +309,7 @@ TEST(McmcUnitENuts, tree_boundary_test) {
}

TEST(McmcUnitENuts, transition_test) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::unit_e_point z_init(3);
z_init.q(0) = 1;
Expand Down Expand Up @@ -338,15 +338,15 @@ TEST(McmcUnitENuts, transition_test) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_EQ(4, sampler.depth_);
EXPECT_EQ((2 << 3) - 1, sampler.n_leapfrog_);
EXPECT_EQ(5, sampler.depth_);
EXPECT_EQ((2 << 4) - 1, sampler.n_leapfrog_);
EXPECT_FALSE(sampler.divergent_);

EXPECT_FLOAT_EQ(1.8718261, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.74208695, s.cont_params()(1));
EXPECT_FLOAT_EQ(1.5202962, s.cont_params()(2));
EXPECT_FLOAT_EQ(-3.1828632, s.log_prob());
EXPECT_FLOAT_EQ(0.99604273, s.accept_stat());
EXPECT_FLOAT_EQ(-1.7890506, s.cont_params()(0));
EXPECT_FLOAT_EQ(1.2320533, s.cont_params()(1));
EXPECT_FLOAT_EQ(-0.62397981, s.cont_params()(2));
EXPECT_FLOAT_EQ(-2.554004, s.log_prob());
EXPECT_FLOAT_EQ(0.99910343, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand Down
64 changes: 32 additions & 32 deletions src/test/unit/mcmc/hmc/static_uniform/derived_static_uniform_test.cpp
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Expand Up @@ -15,7 +15,7 @@
#include <gtest/gtest.h>

TEST(McmcStaticUniform, unit_e_transition) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::unit_e_point z_init(1);
z_init.q(0) = 1;
Expand All @@ -41,9 +41,9 @@ TEST(McmcStaticUniform, unit_e_transition) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_FLOAT_EQ(0.27224374, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.037058324, s.log_prob());
EXPECT_FLOAT_EQ(0.9998666, s.accept_stat());
EXPECT_FLOAT_EQ(1.5896972, s.cont_params()(0));
EXPECT_FLOAT_EQ(-1.2635686, s.log_prob());
EXPECT_FLOAT_EQ(0.9994188, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand All @@ -52,7 +52,7 @@ TEST(McmcStaticUniform, unit_e_transition) {
}

TEST(McmcStaticUniform, diag_e_transition) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::diag_e_point z_init(1);
z_init.q(0) = 1;
Expand All @@ -78,9 +78,9 @@ TEST(McmcStaticUniform, diag_e_transition) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_FLOAT_EQ(0.27224374, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.037058324, s.log_prob());
EXPECT_FLOAT_EQ(0.9998666, s.accept_stat());
EXPECT_FLOAT_EQ(1.5896972, s.cont_params()(0));
EXPECT_FLOAT_EQ(-1.2635686, s.log_prob());
EXPECT_FLOAT_EQ(0.9994188, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand All @@ -89,7 +89,7 @@ TEST(McmcStaticUniform, diag_e_transition) {
}

TEST(McmcStaticUniform, dense_e_transition) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::dense_e_point z_init(1);
z_init.q(0) = 1;
Expand All @@ -115,9 +115,9 @@ TEST(McmcStaticUniform, dense_e_transition) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_FLOAT_EQ(0.27224374, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.037058324, s.log_prob());
EXPECT_FLOAT_EQ(0.9998666, s.accept_stat());
EXPECT_FLOAT_EQ(1.5896972, s.cont_params()(0));
EXPECT_FLOAT_EQ(-1.2635686, s.log_prob());
EXPECT_FLOAT_EQ(0.9994188, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand All @@ -126,7 +126,7 @@ TEST(McmcStaticUniform, dense_e_transition) {
}

TEST(McmcStaticUniform, softabs_transition) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::softabs_point z_init(1);
z_init.q(0) = 1;
Expand All @@ -152,9 +152,9 @@ TEST(McmcStaticUniform, softabs_transition) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_FLOAT_EQ(0.37006485, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.068473995, s.log_prob());
EXPECT_FLOAT_EQ(0.9999119, s.accept_stat());
EXPECT_FLOAT_EQ(1.5338461, s.cont_params()(0));
EXPECT_FLOAT_EQ(-1.176342, s.log_prob());
EXPECT_FLOAT_EQ(0.9996115, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand All @@ -163,7 +163,7 @@ TEST(McmcStaticUniform, softabs_transition) {
}

TEST(McmcStaticUniform, adapt_unit_e_transition) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::unit_e_point z_init(1);
z_init.q(0) = 1;
Expand All @@ -189,9 +189,9 @@ TEST(McmcStaticUniform, adapt_unit_e_transition) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_FLOAT_EQ(0.27224374, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.037058324, s.log_prob());
EXPECT_FLOAT_EQ(0.9998666, s.accept_stat());
EXPECT_FLOAT_EQ(1.5896972, s.cont_params()(0));
EXPECT_FLOAT_EQ(-1.2635686, s.log_prob());
EXPECT_FLOAT_EQ(0.9994188, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand All @@ -200,7 +200,7 @@ TEST(McmcStaticUniform, adapt_unit_e_transition) {
}

TEST(McmcStaticUniform, adapt_diag_e_transition) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::diag_e_point z_init(1);
z_init.q(0) = 1;
Expand All @@ -226,9 +226,9 @@ TEST(McmcStaticUniform, adapt_diag_e_transition) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_FLOAT_EQ(0.27224374, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.037058324, s.log_prob());
EXPECT_FLOAT_EQ(0.9998666, s.accept_stat());
EXPECT_FLOAT_EQ(1.5896972, s.cont_params()(0));
EXPECT_FLOAT_EQ(-1.2635686, s.log_prob());
EXPECT_FLOAT_EQ(0.9994188, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand All @@ -237,7 +237,7 @@ TEST(McmcStaticUniform, adapt_diag_e_transition) {
}

TEST(McmcStaticUniform, adapt_dense_e_transition) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::dense_e_point z_init(1);
z_init.q(0) = 1;
Expand All @@ -263,9 +263,9 @@ TEST(McmcStaticUniform, adapt_dense_e_transition) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_FLOAT_EQ(0.27224374, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.037058324, s.log_prob());
EXPECT_FLOAT_EQ(0.9998666, s.accept_stat());
EXPECT_FLOAT_EQ(1.5896972, s.cont_params()(0));
EXPECT_FLOAT_EQ(-1.2635686, s.log_prob());
EXPECT_FLOAT_EQ(0.9994188, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand All @@ -274,7 +274,7 @@ TEST(McmcStaticUniform, adapt_dense_e_transition) {
}

TEST(McmcStaticUniform, adapt_softabs_e_transition) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::softabs_point z_init(1);
z_init.q(0) = 1;
Expand All @@ -300,9 +300,9 @@ TEST(McmcStaticUniform, adapt_softabs_e_transition) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_FLOAT_EQ(0.37006485, s.cont_params()(0));
EXPECT_FLOAT_EQ(-0.068473995, s.log_prob());
EXPECT_FLOAT_EQ(0.9999119, s.accept_stat());
EXPECT_FLOAT_EQ(1.5338461, s.cont_params()(0));
EXPECT_FLOAT_EQ(-1.176342, s.log_prob());
EXPECT_FLOAT_EQ(0.9996115, s.accept_stat());
EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
EXPECT_EQ("", warn.str());
Expand Down
4 changes: 2 additions & 2 deletions src/test/unit/mcmc/hmc/xhmc/base_xhmc_test.cpp
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Expand Up @@ -221,7 +221,7 @@ TEST(McmcXHMCBaseXHMC, divergence_test) {
}

TEST(McmcXHMCBaseXHMC, transition) {
stan::rng_t base_rng(0);
stan::rng_t base_rng = stan::services::util::create_rng(0, 0);

int model_size = 1;
double init_momentum = 1.5;
Expand All @@ -245,7 +245,7 @@ TEST(McmcXHMCBaseXHMC, transition) {

stan::mcmc::sample s = sampler.transition(init_sample, logger);

EXPECT_EQ(31.5, s.cont_params()(0));
EXPECT_EQ(-31 * init_momentum, s.cont_params()(0));
EXPECT_EQ(0, s.log_prob());
EXPECT_EQ(1, s.accept_stat());
EXPECT_EQ("", debug.str());
Expand Down
18 changes: 9 additions & 9 deletions src/test/unit/mcmc/hmc/xhmc/softabs_xhmc_test.cpp
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Expand Up @@ -8,7 +8,7 @@
#include <gtest/gtest.h>

TEST(McmcUnitEXHMC, build_tree) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(4839294, 0);

stan::mcmc::softabs_point z_init(3);
z_init.q(0) = 1;
Expand Down Expand Up @@ -58,13 +58,13 @@ TEST(McmcUnitEXHMC, build_tree) {
EXPECT_FLOAT_EQ(1.5019561, sampler.z().p(1));
EXPECT_FLOAT_EQ(-1.5019561, sampler.z().p(2));

EXPECT_FLOAT_EQ(0.8330583, z_propose.q(0));
EXPECT_FLOAT_EQ(-0.8330583, z_propose.q(1));
EXPECT_FLOAT_EQ(0.8330583, z_propose.q(2));
EXPECT_FLOAT_EQ(0.42903179, z_propose.q(0));
EXPECT_FLOAT_EQ(-0.42903179, z_propose.q(1));
EXPECT_FLOAT_EQ(0.42903179, z_propose.q(2));

EXPECT_FLOAT_EQ(-1.1836562, z_propose.p(0));
EXPECT_FLOAT_EQ(1.1836562, z_propose.p(1));
EXPECT_FLOAT_EQ(-1.1836562, z_propose.p(2));
EXPECT_FLOAT_EQ(-1.4385087, z_propose.p(0));
EXPECT_FLOAT_EQ(1.4385087, z_propose.p(1));
EXPECT_FLOAT_EQ(-1.4385087, z_propose.p(2));

EXPECT_EQ(8, n_leapfrog);
EXPECT_FLOAT_EQ(3.7645235, ave);
Expand All @@ -79,7 +79,7 @@ TEST(McmcUnitEXHMC, build_tree) {
}

TEST(McmcUnitEXHMC, transition) {
stan::rng_t base_rng(4839294);
stan::rng_t base_rng = stan::services::util::create_rng(483294, 0);

stan::mcmc::softabs_point z_init(3);
z_init.q(0) = 1;
Expand Down Expand Up @@ -112,7 +112,7 @@ TEST(McmcUnitEXHMC, transition) {
EXPECT_FLOAT_EQ(-1, s.cont_params()(1));
EXPECT_FLOAT_EQ(1, s.cont_params()(2));
EXPECT_FLOAT_EQ(-1.5, s.log_prob());
EXPECT_FLOAT_EQ(0.99829924, s.accept_stat());
EXPECT_FLOAT_EQ(0.99993229, s.accept_stat());

EXPECT_EQ("", debug.str());
EXPECT_EQ("", info.str());
Expand Down
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